Empirical Research Of Domestic Commercial Bank Credit Risks Quantitative Management Based On CreditMetrics

Credit risk is one of the oldest risk of commercial bank, and credit risk management is a lasting topic in international financial community. In past twenty years, the most noticeable change in bank management fields is that it has transformed from traditional assets-liabilities management to entire risk management that focus on risk measurement and risk optimization of management emphasis in banks.We stand on how to improve domestic commercial bank credit risks quantitative management, first of all, analyzed the situation that how credit risks management is going on both internal and abroad, summed up the reasons why internal management had weakness were static management and qualitative analysis, put forward that quantitative management is necessary and we have to refer to international quantitative management models. We introduced four prevalent models, they are: Moody's KMV EDFS, CreditMetrics, CreditPortfolio View and CSFP CreditRisk+. In the foundation of basic principle introduction, analyzed which on was referable. In which CreditMetrics model is famous of broad applying scopes and accurate computing loss. The idea of Var deserves reference of domestic commercial banks, and model parameters are easily gotten than other models, which is a base on application in domestic commercial banks.This paper is focus on CreditMetrics model's application in domestic commercial banks. Compared with other home studying papers, it is based on domestic certain bank, and is been operated according to CreditMetrics' idea in model application, which makes the studying result more meaningful and powerful. In the same time, some parameters have been modified and technique methods have been improved, which will advance more study of application of CreditMetrics model in domestic commercial banks.