Empirical Research On Credit Risk Measurement Models For Commercial Banks

Credit risk is one of the main risks in financial market. How to improve the managerial level of credit risk is an important subject for study in the development of banking industry after China's entry into WTO. However, the measurement study of it is a bottleneck of the commercial banks in our country. Compared with western countries, the commercial banks of China still lack the supporting system from data, qualified personnel and skills which belong to the measurement of credit risk. Therefore, it is a predicament that we face how value the credit risk of commercial bank under this kind of environment. In this paper the modern credit risk measurement models are used to analyze Chinese circumstance avert from these disadvantageous factors.First, this paper introduces some basic concepts and characteristics of the credit risk. Second, it explicitly analyzes the traditional credit risk measurement models and the more popular modern credit risk measurement models, make some comments about the modern credit risk measurement models, and study these models' feasibility in our country. Third, it chose the model of KMV and the model of Credit Metrics to carry on empirically research. Finally, combining our actual circumstance, it put forward the some proposals to strengthen the credit risk measurement and management in the domestic commercial bank.