Dissertation > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods

Applicable to Our Country Commercial Bank Credit Risk Measurement Model Research

Author WenHua
Tutor ZhouGuangWei
School Southwestern University of Finance and Economics
Course Finance
Keywords credit risk monte-carlo-simulation Credit Metrics Credit Risk+
CLC F224
Type Master's thesis
Year 2010
Downloads 143
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Credit risk is the oldest and largest risk of a commercial bank face, if we can not correctly recognize and treat will bring great loss, even bankruptcy crisis of the bank. In china the credit risk is more serious, at the same time the current credit risk management system has many defects, which can not accurately and scientificly measure the credit risk of the commercial Banks. It have been restricted credit risk management. Therefore, I choose the credit risk measurement as the research object, using advanced foreign credit risk measurement model, and combining with the current situation of china. It based on a simplified thoughts with monte-carlo simulation technique and CreditMetric model. This model relative to CreditMetrics need less data. It have a good practical value in China which lack of data under the current condition.This paper is divided into following six chapters:The first chapter, Introduction. This study analyzed the background:financial internationalization and banking competition put forward the new requirements of the credit risk metric.Our country commercial bank risk measurement research, analysis, using startting evening. Seriously affect the credit risk management development of commercial Banks. To a certain extent restrict the competitiveness of the bankThe second chapter. The concept and characteristics of credit risk and credit risk factors.It start with the briefly introduce of the risk, then extends to credit risk concept and reveals the features of credit risk.The third chapter. The review of credit risk measurement method and the development status. This chapter detailed describe the credit risk measurement methods and models, including traditional measurement method of experts,and the modern credit risk measurement method:CreditMetrics, the KMV model, CreditRisk+, CreditportfolioView.The fourth chapter.The credit risk model selection and realistic conditions. First, analyze the causes of credit risk. The credit risk is divided into general causes and particularity in China. In China the credit risk management of the existing problems. Finally puts forward credit risk measurement principles of selecting,and we need to consider its economy, applicability, and operability.The fifth chapter. Puts forward a method based on monte carlo simulation of credit risk measurement model. Detailed introduces the assumptions, simulation process.The sixth chapter. Analyze the main objective factors,which limit us to use modern credit risks.The main contribution of this study can be summarized in the following two aspects:(1)Using the method of comparison research analyze the credit risk measurement methods and models. It give a Comprehensive introduction of the credit risk model. It has certain directive significance in the model of the selection and application.(2) According to the actual conditions, I use monte carlo simulation technique in CreditMetrics model, comprehensive accurate measurement of credit risk. Based on the current China enterprise bond market still underdeveloped status can directly obtain bond credit, and so using market of the bond between the bank instead of effective market, on the assumption that market can completely replace. And in lack of credit rating agencies using internal rating. In the reality of credit risk measurement method is of certain reference value.

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