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The Prediction and Measurement Study of Commecial Bank’Credit Risk

Author: DingYu
Tutor: MaChaoQun
School: Hunan University
Course: Technology Economics and Management
Keywords: Commercial bank Credit risk Credit risk management
CLC: F224
Type: Master's thesis
Year: 2006
Downloads: 525
Quote: 2
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Abstract


Credit risk is the most important risk facing commercial banks, is also one of the main cause of bank failures and economic crisis. Therefore, credit risk management has been a hotspot of international risk management research. Now, foreign commercial bank credit risk management technology is more mature, has an effective combination of qualitative and quantitative methods of credit risk management, operation and development of the Bank to provide a powerful and efficient protection. However, the Chinese commercial bank's credit risk management techniques are still mainly qualitative than foreign advanced management level, there is a great gap. Therefore, learn from foreign credit risk management methods, combined with China's actual research for China's commercial banks' credit risk management theory and methods makes sense. (1) of this article on the meaning and characteristics of the credit risk analysis and modern credit risk measurement methods analysis, pointed out their strengths and weaknesses and the scope of application. China's commercial banks, credit research and asset situation and credit risk management status of the significance of the credit risk management process (including credit risk identification, measurement and control) study, pointed out that the huge credit risk of commercial banks in China and the inadequacies of existing credit risk management. Provides a theoretical and practical basis for credit risk prediction and metrics. Option pricing theory-based credit risk management model is suitable for the current situation of China's commercial credit risk management and future development direction of the model on the basis of comprehensive analysis of these three aspects. (2) According to the BSM model, the introduction of the transfer price of non-tradable shares relative net assets per share of the premium rate parameter to measure the value of non-tradable shares of listed companies, the expected default probability model, based on improved credit risk early warning model. Loss ratio based on the expected average loss ratio is defined according to the new Basel Capital Accord IRB and mortgage rates of the commercial banks in China, and its measure. Finally, a measure of credit risk losses. (3) in accordance with the requirements of the Empirical selected from the Shanghai and Shenzhen stock 40 shares statistical study on whether the sample enterprises between the breach and enterprises in the industry and asset size. Then, the sample stock market data and financial data on the expected default probability model, and a measure of credit risk losses empirical research. The empirical results show that: ① the introduction of non-tradable shares transfer price relative to net assets per share of premium rate credit risk early warning model parameters with good accuracy and applicability. ② a measure of credit risk losses for commercial banks credit risk management.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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