Formation Mechanism And Quantitative Study On Credit Risk Of Chinese Commercial Bank

It is sure that the banking industry, which is the most important part of financial system in china, would be faced with all kinds of risks in its operating activity, which like rate risk, market risk,credit risk, liquidity risk etc.. But recently, with the development of the globalization of finance and the relaxation of the financial controlling, the whole world pays more attention to credit risk, and credit risk is becoming one of the main risks in all of these risks.There is a lot of mature theory about credit risk in foreign countries, and the measuring credit risk methods are becoming more and more. However, for historical and system reason, we began the research of credit risk only for a few years,and much of the research was based on foreign theory. That is to say, we have not ours theory system about the research of credit risk yet.With the analyses of credit risk measurement research in worldwide, the paper would study credit risk in two aspects. The first part is studying the reason that causes credit risk and how to control it by methods of game theory and information economics. Of course, with the study of the model in dynamic relation of incomplete information before loan and the model in dynamic relation of complete information after loan between banks and enterprises, the paper could say we would reduce credit risk from controlling the rate of profit before loan,the cost of bank's pressing for payment of debt after loan etc.. The second part is studding the measurement method of credit risk. The paper introduce a few models including Credit Monitor Model, Credit Metrics, Credit risk+ etc.. With comparing those models,the paper says Credit risk+ is more fit for big commercial banks in our country, and then, with this model, the paper gives a analyses about a bank's credit risk.At last, the paper draws the conclusion of this dissertation and points out we would set up our management system of credit risk from a few aspects: Looking for the real reason that causes credit risk by methods of game theory and information economics, Comprehensively enhancing the level of China's commercial banks measurement and management for credit risk, Strengthening external financial supervision for financial institutes etc..