A Quantitative Study On Credit Risk Of Chinese Commercial Banking

Recently, with the globalization of finance and the fluctuation of international finance market, credit risk become more and more serious, and all country's banks and investors face unprecedented credit risk. The practice of international banking demonstrated that the risk measurement and management is one of the perpetual subjects in commercial banks management. Credit risk is one of the main risks in financial market. How to improve the managerial level of credit risk is an important question for study in the development of banking industry after China's entry into WTO. However, the quantitative study of it is a bottleneck of the commercial banks of our country.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 deeply expounded technologies, methods, theoretical bases, applicability, demerits and merits of CreditMetrics, KMV and CreditRisk+ model models. At the same time, we made a series of comparative studies between these most famous credit risk models in various terms.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.The research results of the credit risk management of commercial banks of China shows: (1) The paper discusses foreign influential credit risk measurement system and analyzes the feasibility of using the model in China. At present, the CreditMetrics model and the KMV model have some significance to be used in China. (2)the existing database used to measure credit risk is very limited, and our banking industry should set up infra-rating system and the database for quantificational management. (3) Through the analysis of using the CreditMetrics model in the listed companies in our country, the result can be useful to the quantitative study of financial institution. (4)Through the research of the methods and practice on the quantificational management of credit risk of the international banking industry, our country can make use of the methods of western credit risk management VAR based on the status quo of our commercial banks, and make innovations according to the situation of our country. (5) The process of using western models of quantificational management of credit risk is only a transitional period, state-owned commercial banks will definitely use their own data model to measure and manage themselves.