| The new Basel agreement was widely used in the Banking of 10 Nations Group in 2006. China Banking Regulatory Commission has also responded to this agreement positively, and has actualized the new Capital Accord in China, in 2005. China has joined the Basel Committee in March 2009. As one of "standard setters", China should monitor the development of China's banking with the three pillars of the new Basel agreement. One part of the new concepts in the three pillars of the new Basel agreement is to promote the innovation of measurement methods of credit risk. Based on the modern financial theory, advanced foreign financial institutions have been established measurement methods what analyze credit risk in different perspectives, identify and quantify measurement models of credit risk. These models have provided a means of protection for financial institutions which can survive and develop in complex and competitive of the market in modern time. Comparing with developed countries, Chinese financial markets started more late, and the research on the commercial bank's credit risk also were late. Therefore, empirical research about the credit risk management of Chinese commercial banks has a real reference, to the development of the credit risk management of Chinese commercial banks.The credit risk is most major risk in all kinds of risks of commercial banks. Credit risk has always been accompanied in financial institutions, and credit risk has the characteristics which other risks have no. The characteristics of credit risk would also harm the operations of the financial institutions. Managing and taking strict precautions against credit risk has more requirements. It is the concentrated expression of the entire socio-economic risk. Therefore, how to define and measure credit risk accurately, and how to manage credit risk effectively is very important. This paper selects Industrial and Commercial Bank of China as research object, which is one of five state-owned commercial banks. For its credit risk management system, set the status of credit risk management in the Industrial and Commercial Bank of China, analysis the reasons of ICBC credit risk, study ICBC credit risk with the KMV model which is one of credit risk measurement models of modern foreign, give advice and make suggestions about credit risk measurement models to Industrial and Commercial Bank of China.In this paper, the structure is divided into five chapters, the specific structure is as follows:Chapter one, Introduction. Introduce the background, significance of topics, research in domestic and foreign, methodology and concepts of the paper.Chapter two, the relationship of New Basel agreement and credit risk management in commercial bank. Describe the background and the new concept of the New Basel Agreement, set forth the theory of credit risk management and credit risk management in our commercial bank, simply pointed out how New Basel agreement affect our commercial bank.Chapter three, credit risk management in ICBC. Details the basic operation and credit risk management of Industrial and Commercial Bank of China, analysis the reasons of credit risk of the Industrial and Commercial Bank of China, and based on recognition of foreign modern credit risk, propose the defect and the method how to identify credit risk in ICBC.Chapter four, based on the New Basel Agreement, study empirically on credit risk measurement model of ICBC. By comparing and studying the four credit risk measurement models, this paper selects KMV model to study empirically credit risk of ICBC. And this is the core of this article.Chapter five, analysis the empirical results of the measurement model, put forward the countermeasures and suggestions about credit risk management of.This article provides a reference which can make KMV model apply commonly in ICBC in the future. Also hope that the article would play an important role in our commercial banks. |
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