Research On Credit Risk Early-Warning Model And Its Support Systems For Commercial Banks

The research on the credit risk of the commercail bank lasted for some 70 years. From Fisher's initiate research until now, varieties measure methods of credit risk have been proposed. Early-warning the credit risk, building credit risk Early-Warning system, are the realistic requirement of Credit Risk management. In the thesis, a credit risk early-warning process and a credit risk early-warning model, discovery process of credit risk and a credit risk discovery model are proposed. A support system for credit risk early-warning is designed in the thesis, in order to impove the commercial bank's ability to answer the credit risk.Firstly, with the demonstratation of the importance of credit risk and credit risk management and the requirement of credit risk early-warning, and the relative research of credit risk of commercial bank, early-warning and chance discovery, the frame of this thesis is clarified. Secondly the conceptions of credit risk are defined and the feathures of the credit risk are manifested, and the credit risk lifecycle are proposed. Integrated with early-warning theory, a credit risk early-warning process is proposed. And the objects in credit risk early-warning are described by BNF. Based on the describtion, a credit risk early-warning conception model is proposed. Thirdly, with the conception of credit risk discovery, the demonstratation of possibility and fesibility of credit risk discovery, the expansion of Credit Event, and the advantage of the Key Graph Method, a credit risk discovery process model is proposed integrated with Ohsawa's chance discovery process model. Then the objects in credit risk discovery are described with BNF. Moreover, the processes in credit risk discovery and the transaction rules among the objects in credit risk discovery are analyzed. Lastly, the expression and execution rule of credit risk measure model are proposed. The framework and the data model of credit risk early-warning support system are built. And a credit risk early-warning example for commercial bank is taken to show how to apply credit risk early-warning model and its support system.