Research on Credit Risk Measurement in Commercial Banks

Author: Liang Qi
Publisher:
Publish Date: 2005-05-01
Features: The profit of commercial banks in China mainly comes from the interest rate spread between deposits and loans, and credit risk is one of the most important financial risks faced by banks. Only by timely and accurately measuring and managing credit risk can banks establish a risk management mechanism with functions such as early warning and post-performance evaluation. This not only benefits banks in achieving the safety and profitability of their operations on a micro level but also benefits the stability of the entire financial system and the healthy and sustainable development of the economy on a macro level. How to quantitatively analyze and control credit risk has always been a concern for bank managers. Since the mid-20th century, various modern management techniques and methods have been continuously proposed, providing a platform for the quantitative measurement and management of bank credit risk. This book is dedicated to applying quantitative and combinatorial research methods to measure the individual and portfolio credit risks of commercial banks. It utilizes various models based on portfolio analysis to measure parameters such as the expected default probability of borrowing enterprises within a certain period, the default loss rate of corporate loans, their standard deviations, and the loss correlation between bank loans, thereby calculating the expected loss and unexpected loss of individual bank loans and loan portfolios to achieve the purpose of measuring bank portfolio credit risk. This book systematically introduces the principles, technical methods, and management of quantitative measurement of credit risk in commercial banks, and proposes several policy recommendations for the measurement and management of credit risk in China's commercial banks. This book is suitable for researchers and managers in the field of bank credit risk.