我国商业银行信用风险管理的应用分析

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1、ABSTRACTCreditriskisoneofthemostimportantriskswhichbanksareconfrontedwith．Especial．1lywiththedevelopmentoftheglobaleconomicintegrationandliberalizationoffinancialreform，Creditriskproblembecomingmoresevere．Theobjectiveofcreditriskmanagementistohopethatthroughbanktime

2、lydiscoverytherepaymentabilityofborrowerstocontroltheriskability,thusreducingthelikelihoodoftherisklossforcommercialBanks．Atpresent,’Inordertoimprovetheabilityofcreditriskmanagement，themajorinternationalfinancialinstitutionshavedevelopedvarioustypesofcreditriskmodel

3、s．Thisarticleisintendedtoimprovetheexistingmodel，theprimarycontentsareasfollows：Chapteroneintroducesthebackgroundandsignificanceoftheresearch．，researchstatusofdomesticandforeignandtheideasandstructureofthisstudy．Chaptertwointroducesthedefinitionofcreditrisk，basiccha

4、racteristics，thecausesofCreditriskinourcountry’commercialbanksandcommonlyusedmethodofriskquantification．Chapterthreeisoneofthetwomaincontentsofthispaper-introducetheLogisticmodelbasedonprincipalcomponentanalysisinthecreditriskmanagement．Firstweselectrelatedfinancial

5、indicatorsseparatelyfromthecompanyprofitability,operationcapacity,capacityde—velopmentandshortandlongtermdebtpayingability,Thenusingprincipalcomponentanal—ysisbuildalistedcompanycomprehensiveevaluationindex，Finally,usingtheLogisticmod—elonthelistedcompany’Screditris

6、kmeasurement．Chapterfourisanothermaincontentinthispaper．ItintroducesthebasicprinciplesofKMVmodel．Becausetimeseriesdatahavethepeaks，heavytailsandheteroscedasticitycharacteristics，Weadoptstudents—tdistributionandgeneralizederrordistributiontodescribethefattailcharacte

7、ristics，AndusingheteroskedasticitymodelGARCHmodel，TGARCHmodelandtheEGARCHmodeltoprocessdataheteroscedasticity．Thencreateasuitablemodeltoestimatethevolatilityofequity，andfinallycalculatethedefaultdistancetomeasurecreditrisk．Wetestthedefaultdistancefromdifferentmodel，

8、TheresultsshowthatthemodelcoulddistinguishSTfirmsandnormalcompanies．Chapterfiveisthesummaryofthispaper．KeyWords：Creditrisk；Quantitativemod