| Credit risk is one of the most important risks which banks are confronted with and the ability to control and manage the risk is related with the stability of the bank system and the development of the economic growth. With the development of econometrics and computer technology, credit risk management is changing from traditional qualitative analysis to quantitative analysis and many major financial organizations introduced various credit risk management models in order to improve the ability of controlling and forecasting the credit risk, In China, commercial banks are still using the traditional ways, while using the modern models to analyze credit risk is just a beginning. In this paper, CPV model will be used for credit rating so as to measure the credit risk and banks' regulatory capital adequacy rate more accurately.At first, this paper reviews the domestic and foreign development of credit risk management in banks, especially compares the modern credit risk models, and shows the advantages of using CPV model to manage the credit risk, which provide a base for the following empirical research. Then, this paper assesses the credit ratings of debtors in different industries, indicating credit situation of them, and describes a credit rating transition. Next, this paper adjusts the initial credit ratings by considering the industry factor, according to the principle of CPV model. Finally, this paper calculates the parameters of credit risk based on the adjusted credit ratings in order to obtain more accurate credit risk value and regulatory capital adequacy rate.The result reflects that the sample bank's credit risk management and its regulatory ability have a certain improvement, but credit risk still remains a high level and the regulatory capital, particularly that of debtors in default rating, does not have concord with The New Basle Capital Accord. Thus, it shows the credit risk regulatory system should be strengthened. |
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