Model Theory, Applied Research, Commercial Bank-based Credit Risk Measures

With the financial globalization, technological innovation and the development of financial derivatives. Credit risk, the most important risk of commercial banks, is increasingly becoming the focus of attention. Credit risk measurement and management have a profound impact on the development of entire banking sector and the world economy. Since China's entering into the WTO, China's commercial banks facing a double competition from domestic and international. Furthermore, credit risk management theory in China is still in the initial stage of development, the measurement of credit risk is mainly qualitative analysis with the traditional credit risk measurement methods. Therefore, under the new international financial situation, to strengthen credit risk management and improve credit risk management level have become the most urgent task of China's commercial banks.In recent twenty years, the international credit risk management has gradually developed into a set of complete model. These models are useful for reference to domestic banks. New Basel Capital Accord has been implemented in internationally active banks by the end of 2006,.However, due to historical and institutional reasons, China's credit risk management and measurement technology is still backward, so we cannot copy the model and experience of foreign banks. Therefore, this article compares the KMV model, Credit Metrics, Credit Risk + model in detail about the scope and merits; Combined with the data of China's certain commercial bank, this article takes a empirical analysis and research for KMV model and the after-loan credit measurement model which is based on KMV model, and studies in-depth the necessity and feasibility of applying modern credit risk measurement model in China's commercial banks, and discusses how to amend and perfect the parameters' estimation of KMV model.