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Commercial bank credit risk rating model is based on the application of domestic banking customer research

Author: DengYiYong
Tutor: ShiLei
School: Fudan University
Course: Finance
Keywords: Commercial Bank Credit Risk Rating model Applied Research
CLC: F832.2
Type: Master's thesis
Year: 2010
Downloads: 288
Quote: 0
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Abstract


Credit risk is the risk management of commercial banks, the core issue. With financial liberalization and financial globalization, transactions between commercial banks and bank assets accounted for the balance of the total transaction amount and an increasing proportion of assets. Domestic commercial banks from the existing inter-bank transactions and asset structure analysis, credit risk may arise from RMB or foreign currency lending, asset or repo, bank acceptance bills, foreign exchange, debt investments, various derivative transactions and so on. From the history of the banking crisis and the subprime crisis not yet over we can see that the issues of non-banking clients of commercial banks' business and its impact on society more profound. Establish a scientific bank customer credit risk rating models have realistic necessity. The core of this problem is how to build a client for the domestic banking credit risk rating model. Moreover, the model needs to meet the new Basel Capital Accord under IRB requirements, you can effectively identify and measure the bank customer credit risk, while considering various comprehensive range of customer credit risk on bank qualitative and quantitative impact factors, and have realistic workable. This main points are as follows: First, the traditional expert system in the measurement of the domestic bank customer credit risk, faced with higher costs, lower efficiency, the effect of instability, poor adaptability defects; Western kinds of modern credit risk rating Although in theory the model description and measurement of bank risk more objective and precise, but taking into account the serious limitations of its assumptions, can not describe the irrationality of the next financial crisis, bank customer behavior leads to changes in the credit risk situation, but also domestic bank customers can not describe the moral hazard problem, but because of a serious lack of sample size and historical data, can not effectively use all kinds of modern Western credit risk rating models; while scorecard model is ruled out the limitations of these two methods, while with the feasible in practical applications. Second, through China Merchants Bank as the research object to investment banks to manage their bank customer credit risk as demand for domestic bank customer credit risk rating scorecard model of practical research, the use of expert judgment and quantitative analysis method of combining model building index system, and through validation indicators, concluded with a limited quantitative and qualitative indicators for the measurement factor domestic bank customer credit risk rating models. Because of such models in China's commercial banks in the practical application is still at a preliminary stage, the future still needs to improve its inherent defects, and further follow-up study.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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