The Comparison And Selection Of The Morden Measuring Models About Commercial Bank Credit Risk

Commercial banks are highly leveraged businesses, so they have high risks, of which credit risk is the most important one. In this regard, the Basel Committee on Banking Supervision has developed a series of international regulatory standards to prevent and control credit risk. One of the most influential standards is the Basel Capital Accord and the New Basel Capital Accord. Currently, most countries in the world have implemented the New Basel Capital Accord, and China also initiated its implementation, and meanwhile the Internal Rating-Based Approach will be implemented for measuring credit risk.The Internal Rating-Based Approach used for measuring credit risk implemented by the New Basel Capital Accord, known as the Regulatory Model, is made from the perspective of the regulatory authorities. Since the 1990s, a number of major international banks and companies have developed for their own internal credit risk measurement models, called Industry Models.As the standard of regulatory authorities, Regulatory Model must be implemented by commercial banks. But commercial banks can choose their own Industry Models. Therefore, in credit risk management process at Chinese banks, to meet the request of regulators, China's banking industry can select the appropriate industry model according to its actual situation.This thesis provides an in-depth analysis of the Regulatory Model of the New Basel Capital Accord and the internationally popular Industry Models. On this basis, on the one hand, comparison is made about the industry models from theoretical basis of the models, risk drivers, the volatility of default probabilities, credit default event correlation and the way of getting portfolio loss distribution; on the other hand, the Regulatory Model and Industry Models are compared. Additionally, according to the actual situation in China, the thesis theoretically analyses what Industry Models we should choose, and get that KMV Model applied to our country. Then empirical analysis is also made about the the KMV Model's applicability by means of the data of listed companies.