The Prediction And Measurement Study Of Commecial Bank'Credit Risk

The credit risk is the risk with which most commercial banks confront. It is also one of the reasons that make the bank bankrupt and put the economy into crisis. So the credit risk management is the hotspot of researches on the management of risks. Now international commercial banks have relatively mature technology for the management of the credit risk, which combines quantitative and qualitative procedures to manage the risk and provide effective and powerful safeguard for the those commercial banks. But the technology for the credit risk management in China's commercial bank is still qualitative. So there is a wide between the advanced technology of the credit risk management and that of China. It is of theoretical and methodological significance to study of the technology for the credit risk management in the context of China's commercial banks on the basis of the advanced technology for the credit risk management in the world.(1)The paper analyses the meanings and characteristics of the credit risk, compares the modern techniques for the credit risk management, and points out the advantages and disadvantage and the area where the techniques can be applied. Then, the paper studies the significance, the process (including the identification, the measurement and the control of the credit risk) of the credit risk management and the situation and the management of the credit assets in China. Based on that, we expose the reasons of the huge credit risk and the inadequacies of the credit risk management in China's commercial banks. This provides a foundation for the research of the forecast and the measure of the credit risk in this paper. At last, this paper proposes that the credit risk management model based on the option pricing theory is the suitable management techniques for China's credit risk management situation and the future development in this respect.(2)Based on the BSM model and introduces the ratio of the price of the non-tradable stock and the ROE to measure the value of the non-tradable stock of the listed company. Based on this, we construct the EDF model. Then, we define the expected average recovery rate and use the IRB to measure it At last, we study the measure of the expected loss and the unexpected loss from the point of view of banks.(3)This paper selects forty stocks from the Shenzhen Security Exchange and the Shanghai Security Exchange for empirical research. Then, we study the correlations...