Actuarial Measurement Methods Of Bank's Credit Risks

In this thesis risks of bank's loan are investigated. Following principle of actuaryscience combined with some thoughts from the insurance field, an actuarialtechnique-based measurement model is set up to analyze VaRious credit risks.Different from the existing actuarial technique-based measurement models, MortalityRate table of life insurance and CSFP's CreditRisk Plus Model of selling family fireinsurance of property insurance, a creative integrated analysis of basic risk factors ofloan such as loan loss, default probability with issues of insurance claims such asclaims quantum and claims probability is made. The analysis mode used in this thesisis meaningful to bank's loan risks calculation and management in the future in China.In this thesis based on credit rating techniques, classification of borrowers ismade, with default probability of different credit ratings obtained. Then, the risktheory, casualty insurance and life insurance actuary techniques are adopted in creditrisk model proposed. From a viewpoint of the risk theory, a new risk-measuringmethodology for combinatorial bank loan risks is discussed. In particular applications,individual risk model and risk aggregation model are mainly introduced and used toobtain mean value, VaR and even the distribution function of the default loss total ofthe whole combinatorial loan so as to provide basic data support to anticipation lossand non-anticipation loss in computation of default loss. Next, the risk of acombinatorial loan is examined from an aspect of bankruptcy probability. Followingthe ideas of Altman and others, life insurance mathematics is brought in measurementand management of bank's loan risk. Some knowledge of pay for pure premium inbulk is used to describe risks of loan and analyze how to compute anticipation lossand non-anticipation loss of the combinatorial loans when loans are examined andapproved.Finally, borrowing some knowledge from non-life insurance field, a randomsimulation and VaR of loan default loss are successively established. Under some newhypothesis that lending rate can freely be determined by commercial banks, NCDsystem is introduced. In addition, a random Poisson process is used to discuss meanloss and application in credit rating table of a combinatorial loan account.