Modern Credit Risk Measurement Models Evaluation And Application Study Of Commercial Banks

As the most important risk that commercial banks are confronted, Credit risk remains the focus of each country. With the globalization of finance, the competition of the multinational banks, much more complex of banking business, technology innovations and the development of finance derivatives , bank industry are eagerly in demand of more advanced, precise and outstanding look-ahead capability quantitative methods than ever. Credit risk evaluation methods are hot topics in financial research field. By the overall opening of the domestic bank industry makes our commercial banks are faced of much more drastic competitions than before, strengthen the credit risk management and enhance the level of the credit risk management becomes the most urgent affairs of commercial banks of our country.In recent twenty years, credit risk quantifying was gradually developed to a complete set of models system. These models are use for reference to domestic bank. The New Basel Accord has put in practice in international active banks, and domestic banks can't be exceptant. Because of the differences in economic policies and development of finance between foreign countries and us, we can't copy blindly foreign experience. Therefore, the paper close connect the IRB, and carry out detailed analysis of four published and influential credit risk quantifying models, including KMV, Credit Metrics, Credit Risk+ and Credit Portfolio View recommended by Basel Committee.By the investigation of current situation and characterization of credit risk management in commercial banks of our country, from the effective controlling of credit risk, improving the risk management pattern, entering and gain the internationalize competition, this paper deeply discloses the essentiality of using mordern credit risk measurement models in banks of our country. With the discussion of credit grading, data information, capital marketization and rates marketization, and hypothesis of models, the paper deeply and comparatively analyses the feasibility of the four models, and discusses the implementation of them in China.What's more, the paper gives some correct points, basic construction and policy advices on improvements of KMV Model implementation of credit risk management in commercial banks of our country. Furthermore, with use of domestic listed companies data, the paper applies empirical analysis for KMV model, proves good effective quantifying result.