Research Of Credit Rating Model Of Commercial Banks Based On Analytical Hierarchy Process

With paying more and more attention to prevent commercial bank credit risk, credit rating became an important method for enhancing the capability of banks to manage credit risk. Credit rating of our commercial banks was developed later than overseas;meanwhile, it was under much external pressure. The core of "New Basel Capital Agreement", Internal Ratings-Based Approach (IRB), brought forward much more requirements for management credit risk of the commercial banks, and the foreign banks improved their competition through some advanced skills and methods of credit rating. Hereby, it was necessary to research commercial bank credit rating deeply.In the sight of systematization and cybernetics, the author researched the weakpoints of the credit rating of our commercial bank and analyzed the requirements of establishing a credit rating model. Then, a model was set up by using the method of system engineering. T-test and a case analysis proved that this model was effective and feasible, and showed the advantages of using the analytical hierarchy process to the credit rating.The main work was included in the paper: 1. On the basis of "New Basel Capital Agreement" for design and running of bank internal rating, the foreign and national commercial bank credit rating was compared in the paper to find out the weakpoints of our credit rating. 2. To overcome these weakpoints, the credit rating index system was analyzesed, and a new index system was set up by the expert investigation and statistic. 3. The analytical hierarchy process in the field of system engineering was used to establish credit rating model. The credit rank of corporations was measured by efficacy coefficients. 4. In the end, the model was used to measure the credit rank of a corporation. The result showed that the model was effective and feasible.Application of the analytical hierarchy process in the system engineering to the credit rating made the model more exact and effective than the expert method in the quantitative analysis. Under the t-test, there was no obvious difference between the credit rank transfer matrixe calculated by the analytical hierarchy credit rating modelin this paper and the matrix obtained by J. P. Morgan. The conclusion was that the model was effective and was worthy of developing furhter. Applying the model to a credit case showed that it was feasible.