Research On Commercial Banks' Credit Risk Measurement Of China

Along with the rising of economic empirical research, and the wide application of econometrics, statistics, probability in the financial field, a lot of the subjects begins to turn to quantitative research. Credit risk quantification began after the "Basel Agreement" in the 1980s. Larger banks worldwide realized: Exchange rate crisis of pound sterling in 1992, Bahrain Bank's bankrupt, Asian financial crisis in 1997, and other major events, all the risks (especially credit risks) were behind major issues such as Asian financial crisis in 1997, etc. they were lack of the useful credit risks quantization tools. They also recognized that the actual risk capital allocation for reference, the bank's overall credit risk exposure was 60% while market risk and operational risk now only account for 20%.The greatest risk which the commercial banks face is the credit risk. So how to improve the management to the credit risks already becomes the most urgent problem of the commercial banks in China after entering the WTO. This paper has following three purposes: 1.In the new situation, traditional credit risk analysis which our commercial banks still use is not suitable for quantitative analysis of the credit risk of banks' own development. Advise the banks to set up suitable model about risk management of credit and control with scientific real examples. 2.Call upon the experts and scholars to study credit risks quantization schemes and models suiting the bank of our country in order to improve the risk management level of the commercial banks, thus increases the competitiveness of the banks. 3.Remind to related departments to accelerate the construction of law, to adjust the policy, to offer the good environment for commercial banks.I adopted compare method, real example method, and draw on the experience of famous banks' measurement tools to research credit risk of commercial banks of our country. Domestic commercial banks compare foreign commercial banks with credit risks theory and credit risks quantization tools and method. After building a model which is suitable for domestic commercial banks, I proved it Valid and practical with a real example. This text uses CreditMetrics model and KMV model to make to single loan and two loans real example Analysis, to reveal relations between credit risks and capital rate. This text has drawn experience of the ideas of several major models that have been discovered for several years, while I suggest we could do it at the time of setting up the database.I explore the model that is suitable for commercial bank of our country at present stage. In the process of building credit risk measurement model, I propose: at first, correct risk administrator's idea, draw lessons and study evaluation method inside the international banks. Secondly, improve the economic environment of our country, including setting up innovative financing system, the a unified description of the social credit system, and the credit risks insurance system of banks. Finally, improve the quality of the administrative staff of the credit risks...