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Studies on Credit Risk Measurement Management of Banks in China under the New Basel Capital Accord

Author: ShiLin
Tutor: ShaoXinLi
School: Hunan University
Course: Finance
Keywords: Credit risk Credit risk quantification Basel Capital Accord IRB
CLC: F832.33
Type: Master's thesis
Year: 2005
Downloads: 633
Quote: 5
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Abstract


Credit risk is the risk of the one of the oldest in the financial sector, the extent of potential losses, credit risk is the primary risk of the commercial banks. Quantitative management of credit risk is of great significance for commercial banks. Credit risk quantification has a close relationship with the credit rating, the credit rating is the beginning of the credit risk quantification. Estimates the condition of the bank's risk assets, the bank must rating for an asset, with a corresponding risk weighting. How to establish and improve the Bank's loan grading system or debt classification system is a very important task for China's commercial banks. In 2006 the formal implementation of the New Basel Capital Accord, proposed a new method to quantify credit risk - the standardized approach and the internal ratings-based (IRB method). Basel Committee made it clear that the fundamental principles of the New Basel Capital Accord generally applicable to all banks in the world, and to encourage a high level of management bank using the IRB method. Application IRB can enable the bank to accurately measure risk, improve risk sensitivity, the same time, the application of the IRB approach and a high level of risk management of the bank, measure the risk factor value is small, the risk weight lower than when using the standard method , so as to achieve capital deals. It can be said that the IRB advanced international banking risk management practice is an inevitable choice for China's commercial banks to improve risk management. In this paper, through the use of economics, finance, statistics and other relevant principles, in-depth study of China's commercial banks credit risk quantification management issues. Comparative analysis, the method of combining theoretical model, empirical research, a collection of first-hand data of domestic and foreign commercial banks risk management, the significance of China's commercial banks credit risk quantitative management, development and in the ways and means of selection were studied and analyzed. Domestic commercial banks to the latest financial data based on the analysis of the feasibility and necessity of the quantitative management of China's commercial banks risk. In this paper, drawing on the experience of foreign commercial bank credit risk quantification IRB, the KMV model estimates listed companies on risk quantification model borrower default rates of the empirical analysis, the use of a listed company's annual report 2004 data as of April 2005 The latest stock market stock market data, the typical enterprise risk quantified. On this basis, China's commercial banks to establish the idea of ??the IRB, and pointed out that China's commercial banks to use the the KMV model estimates listed companies borrower default rates feasible. In this paper, made the following aspects of work: First, the new Basel II will be implemented shortly commercial bank credit risk management in the context of the necessity, feasibility, practical means of operation; Second, the collection and processing of commercial banks and listed companies to the latest data, use the KVM model as a basis for the empirical calculation; Third, the summary of the foreign bank's internal risk control means and methods; correction in the references for KVM calculation model misquoted (see p50). Is divided into six chapters, the first chapter is the introduction, discusses the domestic and international credit risk quantitative management

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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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