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The Research of Credit Risk ’ Theoretical and Practical Application in Our Country ’ Commercial Bank

Author: WangPing
Tutor: LiYingQiu;ZuoXiaoBing
School: Changsha University of Science and Technology
Course: Probability Theory and Mathematical Statistics
Keywords: Credit Risk Measuring method Factor analysis Collective risk model Empirical analysis
CLC: F832.33
Type: Master's thesis
Year: 2010
Downloads: 129
Quote: 0
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Abstract


Credit risk is one of the most important risks which banks are confronted with. It becomes the popular topics in the financial field. The ability to control and manage the risk directly affects the stability of the bank system and the development of the economic growth. With the development of econometrics and computer technology, credit risk managements are changing from traditional qualitative analysis to quantitative, and many major financial organizations introduced various credit risk management models in order to improve the ability of controlling and forecasting to credit risk.Chapter I is preface in this paper, the writer firstly introduces the background and significance of the researching problem. Then we describe the concept of credit risk and relevant theories concerning the management of credit risks. Moreover, the writer gives a brief review of several traditional methods credit risk and the common management models of credit risks.In the second chapter, a new index system for financial evaluation of company is build, making application of the factor analysis method. According to the enterprise’s financial statements to identify the data of enterprise management status, using the relevant index of enterprise to research credit risk, we provide a theoretical reference to enterprise loan in the commercial bank.The third chapter, the collective risk model is widely applied in the credit risk in our country commercial bank replace insurance, the credit risk is considered as a combination with the change of time and the credit risk of default. We discussed about the total credit portfolio loss distribution function. Secondly, the long collective risk model is improved.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial organizations, banks > Commercial banks ( specialized banks )
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