The Statistical Researching Of Credit Risk Management Of Commercial Banks In Our Country

The finance will be the core of modern economy, but the commercial bank also is occupies in the modern finance system to the dominant position, is the state economy condition barometer, therefore commercial bank's credit risk management level will be affecting the entire state economy stability. After joining WTO, the foreign banks pushe in the Chinese market in abundance, they are relying on the abundant economic potentiality, the science management, the advanced risk measure and control methods and the marketing methods compete with our country commercial banks. The China commercial banks are in the situation of backwardness in credit risk management technology, have to increase the loan amount and the deadline as well as gives the letter to the low credit rank customers, this has enlarged the credit risk without doubt which our country commercial bank faces. Therefore, researching to measureing and optimizing our country commercial banks' credit risk has the certain theory and the practical significance. Chooses the CreditMetrics model to measure and research our country commercial bank' credit risk. This model's thought is: The credit property combination value affected by the change of the property credit rank, evaluating the debit side's credit rank is the base of measuring commercial banks' credit risk using the Creditmetrics model. Therefore, established the commercial banks interior credit rating system at first, Constructed our country commercial bank credit rating index system from four aspects such as the financial factor, the enterprise strength, the quality, the former credit condition and the environmental factor, and then drow the WuYuan model and the KeTuo appraisal method into interior rating system. Improved the WuYuan model by developing its application domain from the single level index to the multi-level index. Then measuring some commercial bank's credit risk separately to single credit property and the credit property combination, and established the Monte carlo mathematical simulation model based on loan datas to simulate the value distribution of credit property combination, thus measured the risk of credit property combination. Then optimized the risk using achievements appraisal and the risk price adjustment method based on the economical capital disposition. From the credit rating, the credit risk measure to the credit risk optimizes, the whole was integrity, layer upon layer progressives, and has keeped the data continuity. The diagnosis process has provided the reference to our country commercial banks to establish the internal credit rating system and the risk measure and control system.