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The Research of Bank Loan’s Credit Risk Based on CreditRisk～+ Model

Author: ChenDongHai
Tutor: XieChi
School: Hunan University
Course: Management Science and Engineering
Keywords: Credit risk management model CreditRisk model Commercial bank loans Risk control
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 553
Quote: 6
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Abstract


Credit risk is one of the most important risk facing banks , control and management capacity of banks to credit risk related to the stability of the banking system and the development of the national economy . With the use of econometrics and development of computer technology and the management of credit risk has begun to shift from traditional qualitative analysis quantitative analysis of some major international financial institutions have developed a variety of credit risk management model to improve credit risk management and forecasting capabilities. Chinese commercial bank loans , credit analysis also stay in the traditional management model , the use of modern risk management model for credit risk analysis is still in its infancy . Chinese commercial bank loan will be used CreditRisk ~ model for credit risk analysis . First , this paper reviews the development of credit risk management , in particular, a detailed comparison and analysis of the four main modern credit risk management model , combined with the current situation of China 's commercial banks , CreditRisk ~ model loan credit risk management advantages . Then CreditRisk ~ model actuarial science analysis framework to derive the loss distribution of the credit portfolio , and the model is extended to fixed delinquencies state variable default rate state , thus deriving credit portfolio risk contribution and breach correlation. Finally , on the basis of this model , a state-owned commercial banks and municipal branch loan data and credit risk analysis . The results of the study show that the current the sample bank credit risk gradually improved , but still at a relatively high level of credit risk . Analysis in industrial loans and commercial loans , commercial loans , the risk is far greater than the industrial loans, precisely because of the risk of commercial loans which significantly increased the risk of the entire portfolio .

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