Research On The Application Of CreditRisk+ Model In China's Commercial Banks

The credit risk is debtor's possibility that can't repay his debt with interest on schedule in the future, it is the main risk which the bank faces. the credit risk of banks not only influences the reform and development of banks but also influences the operation of the macroeconomic seriously, and may even initiates the serious financial crisis and social crisis. So how keeps away and dissolves credit risk of banks should be a problem solved by the theory and practice urgently. At present, in the western developed country, the management of commercial banks is already riper in credit risk, and corresponding management system is formed at the theory and practice, and methods and models of measuring credit risk is innovated constantly. By contrast, the effective data store that our country's commercial banks measures credit risk is insufficient, and the credit risk measurement method of the banks is still in traditional proportional analysis and the experts' experiential judgement, still far from reaching the requirement of Internal Ratings-based Approaches within the New Basel Capital Accord. Because of this, this paper tentatively adopts CreditRisk+ requiring relatively fewer data amount in advanced credit risk measuring model in the world, and carries out an empirical test about the application of CreditRisk+ model in China's commercial banks combining the reality of our country's commercial banks.This paper introduces the importance of the management of measuring credit risk briefly at first, and according to the requirement of Internal Ratings-based Approaches about measuring credit risk within the New Basel Capital Accord, after carrying on a comparative analysis to foreign modern credit risk measuring methods of commercial bank, analyzes the internal relationship between unexpected loss and methods of measuring credit risk especially.Secondly, through doing the discussion to the weak point of the current risk measuring methods of our country's commercial banks, the paper carries through a feasible analysis to the adaptation of CreditRisk+ in the commercial banks of our country.On this condition, with the aid of some data of a commercial bank of our country, some parameters of the model are tested and the validity that the model is employed in our country's banks is analyzed especially.Finally, according to testing courses and results, the paper put forward some material suggestions of raising the level of commercial bank's credit risk measuring of our country through citing and expanding CreditRisk+: (1) Raise the accuracy of measuring Probability of Default through referencing foreign methods; (2) Deepen the excavating and neatening of data; (3) Include the prosperous circular factor of economy in CreditRisk+;(4) Consider the relativity between Loss Given Default and Probability of Default. (5) Study on the collocation of economic capital of our country's commercial banks combining with RAROC.