The Credit Concentration Risk Management Study Of Commercial Bank In Post-Crisis Era

Since from middle period of 2009, the world has passed through the economic crisis, goes into the new era-"Post-crisis era". On the one hand, with the combination of positive fiscal policies and numerical monetary policies, the global economy has been bounced back with its momentum; on the other hand, by observing the index of cost of carry, financial market has been recovered to normal. The fluctuation of economic operation in Post-crisis era poses a new threat on banking management. In order to withstand the effects of financial crisis, our government has decided to grant four-trillion economic stimulus plans which were bound to lead the rising trend of credit amounts. The changing credit structure and the oversized scale of fixed assets make it possible that the potential risk of credit assets is rising.In the modern finance system, as the major medium of financial transaction and the index of economy situation, commercial banks make a great contribution to the smoothly operation of national economy. During operation, commercial banks themselves undertake different kinds of risks, such as credit risk, interest rate risk, flow risk and management risk. According to Basel statistics, among the risks, credit risk account for almost 60%. Credit risk management is to analyze, resist and control the credit risk through effective methods so as to make credit safe, ensure the getting back of the principal and interest.Presently, banking in our country normally exist credit concentration risk, especially after the financial crisis. The rapidly increase of credit amounts make the concentration degree worse which not only influence the measure of economic capital, but also threat the stability of our banking. It is quite urgent to research the credit concentration risk.Although different banks vary slightly in terms of scale and nature, there is a common problem that is obvious credit concentration risk. Once core client or special filed have some changes, banks will encounter serious loss. At present, a large amount of credit money has been focused on stock change market and real estate market which boost the worseness of inflation. If the borrower can't pay back the loan, the consequence will be doomed. The purpose of this paper is to research the concentration risk. Only our banks can make sure to have a good control on the concentration risk while making nice profit margin, can they develop very well in accordance with the first level banks in the world under the guidance of new Basel treaty.This paper adopts theoretical and quantitative method to analyze the risk. At first, clarify the definition of concentration risk, emphasize the importance of research. Then on the foundation of existed research, this paper puts forward a new idea, making a combined consideration about the three kinds of risks. The first step is the initial analysis on the basis of principal factor analysis method, the second step is to utilize the KMV model and the third step is to make use of credit derivatives. Finally, empirical analysis is added to with the data from commercial banks. it aims to provide some references to the credit management of banking in China.