Credit Risk Model

With the rapid development of innovative financial instruments in international financial markets, traditional credit models undergone changes quietly: from static style into a more dynamic style, and reflects the transfer of non-systemic features, also we could see cross-cutting factors with.market risks. Credit risk measurement standard in "New Basel Capital Accord" also reflects the new credit risk characteristics. It also produces ideas and direction for our choice of credit risk measurement model.In this paper, commercial bank credit risk management model is a major research goal. In the past, experts and scholars had made the research results, based on this paper, combining with the new demand of credit risk quantitive management, and new demand of "The New Basel Capital Accord", we propose an appropriate model in new situation. This is also the trend of credit risk measurement model selection. Besides, we will also integrate the condition of Chinese credit risk management, to discuss the appropriate model in present, and make empirical studies to provide example for application.The Main Ideas of the Study:First: Compare features of traditional risk model with the modem and analysis the reasons and new financial environment for the evolution.2nd: Combining relationship between demand of credit risk model in new financial environment, and "The New Basel Capital Accord", further discuss the requirements of "New Basel Capital Accord" on credit risk measurement.3rd: We introduce theories and ideas of several modern credit risk measurement model, which are extensively used in the international community, including model of KMV, CreditMetrics, CreditRisk+, and CreditPortfolioView (CPV).4th: One the basis of new financial environment, new requirement of Basel Accord, and cooperation of monde models in 3rd chapter, we get the conclusion that KMV model has comparative advantage in new situation. And also KMV model is also a relatively long-term optimum choice for our country.5th: In light of present conditions of Chinese credit risk management, we discuss and analysis the appropriate choice of CreditRisk+ in short-term view. And make empirical studies, to provide a example for application. Finally, we give some positive advice in the long run.