Study Of Credit Risk Measurement Of Chinese Commercial Bank Based On Macroeconomic Factors

Macroeconomic environment is an important factor that must be considered in commercial banks' credit risk management. However, China's commercial banks mainly use qualitative or simple quantitative method to estimate the impact of macroeconomic factors in credit risk management and failed to allow for more accurate modeling measurement. Some relatively mature credit risk models that developed by foreigners take only economic cycle into account but without considering economic reform that happens in China, so are not suitable for direct application in China. After the U.S. financial crisis, China's banking supervision department strengthen the macro-prudential supervision to commercial banks and focus on systemic risks. Therefore, credit risk measurement based on macroeconomic factors is of important practical significance. The dissertation firstly analyzes the impact of macroeconomic to commercial banks credit risk. Then establishes credit risk measurement model based on macroeconomic factors. Finally organically combine the macroeconomic analysis and credit risk measurement model to take credit risk measurement based on macroeconomic factors.Current economic theories fail to explain how the economic cycle and economic reform affect on commercial banks'credit risk. The dissertation builds up a simple Cross-Cycle model to analyze how the economic cycle's influence on commercial bank credit risk and describe the pro-cyclical varies of expected loss and non-expected loss of bank. Economic reform mainly affect the credit risk of commercial banks from three aspects of enterprise property system reform, financial system reform and opening up. The dissertation firstly establishs a Two-Sector Risk Generating model to analyze how the enterprise property system reform effects on the credit risk; secondly points out that the financial system reform has double harden effect to budget constraint and capital constraint, then influence the credit risk; thirdly establish an Opening-up 3 period model to illustrate that opening up to increases business revenue and also increase the volatility of revenue, which generate two-way effect on the banking credit risk. Chinese economic reform has not been completed. Therefore, the economic reform factors must be considered in China's commercial banks'current and future credit risk measurement. According to the theoretic analysis, the dissertation establishes a credit risk measurement model based on macroeconomic factors. The first step builds up a Macroeconomic Factor Determine model (short for MFD model) and estimates the macoreconomic factors that significantly influece banking credit risk. Demonstration study determines five factors as GDPGR, INF, EPDI, FLI and FTD, indicating that economic reform factors are as important as economic cycle factors to credit risk measurement. The second step extends the Logistic model to Macroeconomic Factor-Logistic (MF-Logistic) model and takes empirical analysis of MF-Logistic model in industrial and regional level. Empirical analysis shows that the MF-Logistic models get good fitted result, all macroeconomic factors show varying significant degrees and have economic meanings. The MF-Logistic model enhances the judging ability to credit risk and can describ the impact of macroeconomic changes on probability of corporate defaults and provides model for scientific credit risk measurement.Combining macro analysis, Press Test, MFD model, MF-Logistic model and CreditRisk+model, the dissertation measures the PD and economic capital of loans in different macroeconomic scenes based on macroeconomic factors forcast. credit risk measurement method based on macroeconomic factors prediction can directly reflect future macroeconomic factors affect on banking credit risk, can help banks to change credit risk measurement following "Morgan rule", then alleviate the procyclicality of economic capital and achieve unity of macro-prudent and micro-prudent.China's commercial banks should strengthen inspection to macroeconomic factors, establish economic capital procyclicality buffer mechanism, implement refined credit risk measurement in industry and regional level, and prosecute credit risk press test.