Credit Risk By FSVM Measure And Pricing Research Of Commercial Bank In China

Credit risk management is the main gap between Chinese commercial banks and foreign banks in the current, while credit risk measurement model is one of the most advanced methods for credit risk management. In this paper, as a study object, We launched a theoretical research for credit risk measurement model and the credit risk management. Based on the research of the modern models of credit risk measurement which are the most advanced method of the credit risk management, with the full investigation on conditions and constraints of domestic credit risk management,author has established the credit risks measure model based on fuzzy support vector (FSVM), and based on this, author has priced the credit risk by default distance and the risk premium. This paper tries to find a way to build an effective credit risk measurement model for domestic commercial banks to promote the management of credit risk.The paper consists of six parts. Part one, after introduction of the basic conception and the actuality of credit risk, it expounds the research purport on the credit risk measurement and management, including the brief introduction of every method or model of credit risk management. Part two mainly researches on the modern credit risk measurement models that are very popular in western countries. The application studies about crediting risk measurement of commercial banks are not familiar in our country. Most of them are discussions in one direction of business affairs, and always are based in nature determining, some are lack of quantifying. So, in part three, author introduces the revision model of support vector machines (SVM) ----Fuzzy support vector machines (FSVM), uses this method in the measure credit risk, and establishes the mathematical model, gives the solution method and the step. With the real diagnosis research by 44 companies, we confirm that this method has the validity and the superiority in economy compared to the other measurement when uses in the commercial bank credit risk assessment. And through the research by 19 no default bank stylebooks, we confirm its availability. In part four, we use the model as the foundation credit risk pricing model, each loan business introduction violation rate and the market value anticipated compensation rate, designing one kind based on the risk premium for credit risk pricing method of commercial bank, we infers the loan risk premium in the concrete expression. Then, we give the example by validated verdict from part three to indicate the method application value, simultaneously through the contrast analysis, we has promulgated the inadequacies on pricing that is in tradition loan for commercial bank.In part five, the paper has put forth on some helpful proposals about how to build an effective credit risk measurement model for domestic commercial banks and what necessary works to do.