| The risk is one of the basic attributions of financial system and financial activities, while the risk management plays a central role in all services and management which various financial institutions are engaged in. The financial risk comes from the fluctuation of financial variables and reflects the economic risk to a large extent. The financial risk makes the financial system frequently in the turbulence, and seriously affects the steady development of the economy. Therefore the financial risk management has been the key question in financial field all long. By recognition, measurement, decision-making and monitoring of the risk, the uncertainty of the risk can be reduced, and finally the goal of optimize the allocation of resources can be achieved.At present various risk measure methods all define the risk measure as a function of rate of return which is a random variable. This assumption tallies with the actual situation regarding securities and futures,and has its economic background. However, as for the commercial bank orcredit assets of trusts, this assumption is inappropriate. The main reason is that the rete of return of credit property with the fixed interest is basically fixed. Even if the enterprise fails to repay the loans, or can only repay a part of them, the rate of return changes at this time, but could not fluctuate fiercely like rate of return of securities. Therefore, as for credit assets, its rate of return itself is not the key factor affecting its risk..This paper summarizes the predecessors'market risk measure method and credit risk measure method, and basing on them, proposes the concept of stochastic default probability using the Bayes theory, and a new credit property risk measure model is constructed by stochastic default probability.This model has synthetically considered the market risk and credit risk of the credit property. It can give full play to the advantage of the traditional risk measure such as CVaR and spectrum risk measure, and can also adjust its stochastic default probability distribution according to the enterprise credit, and so it is convenient for making dynamic risk management. |
