Research Of Credit Risk Model For Companies In Commercial Banks

Credit risk has existed almost everywhere for a long time. This paper presented the development process and main classification of the credit risk model, analyzed the characteristics and the essence content of the model method, and compared various new methods, new techniques, tools, systems, and then elaborated the development track of the structure model.With a great deal of information data for companies of the commercial bank, and by the multivariate discriminate analysis, Logit regression, principal component analysis, and with the definition of the normal and default companies, this paper used the SPSS software carried on a lot of models to do research into two types of default risks of companies in different industries and regions.According to the Merton model principle, the paper applied credit risk research in a grate deal of private companies of the commercial bank. With the history finance information to reflect the default characteristic, and with nine parameter-stimulation models, the paper choosed the formula of the best one, and then demonstrated to know the function of relationship of default risk and experiential default distance, and carried on validity examination.According to the reduced-form model principle, with the internal credit rating system and a great deal of history data of companies of the commercial bank, the paper set up a statistical method which could reflect the characteristic of default for the commercial bank's customers, and got a great deal of historical default probability of different industries, regions, customers degrees, and with the Logit model to carry on parameter regression, combined with the historical default data and financial data of companies, got a empirical research for default risk of companies.Combined with the statistical model, structure model and reduced-form model's methods and parameters, this paper put forward a two-stage model for credit risk in form of hybrid model. With non-linear parameter and bounded technology, the paper optimized the hybrid model and got a more widely used and more valid functions. According to this, we carried on a comparative analysis for the three kinds of models in default characteristic.In carrying on thorough analysis of the restriction and difficulty of credit risk model used by commercial banks in our country currently, the paper shows how to set up a normative, valid, feasible credit risk model system, and put forward the construction and implement steps for the credit risk model management system.At last, with the foundation of gathering the empirical models, the paper explained research innovation point, and the problem which need to be solved recently and the suggestion of subsequent research.