C Bank Chongqing Branch credit risk management research

Liu, Yue (2016) C Bank Chongqing Branch credit risk management research. [Dissertation (University of Nottingham only)]

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Abstract

For large financial institutions, credit risk has been the biggest problem of its development. At present, the credit risk management in the international large-scale financial institutions has formed a complete set of theoretical system and measurement model. Compared with them, there is still a big gap between China's and foreign financial institutions and commercial banks in this area. Therefore, the measurement and evaluation of the credit risk of China's commercial banks is a topic of concern and discussion in the academic and financial system. How to make more effective management of credit risk and constantly improve the efficiency of credit risk management of commercial banks is also one of popular topics of extensive research.

This paper analyzes the current situation of credit risk management of C bank Chongqing branch in China, and makes use of the KMV model to evaluate the credit of some customers of the bank. Compare the evaluation results with the results of the bank's internal rating system, and find the problems in the credit risk management and internal rating of C bank Chongqing branch. The main difference between KMV model and internal rating in C bank Chongqing branch is that the data for KMV model is more dynamic. The analysis of the customer combined with every point in the stock market, bond market and the variability of foreign exchange market. So it’s more accurate and timely. On the contrary, the timeliness of the internal rating method is poor. It is mainly based on static customer financial data, audit reports and other customer rating. Although it is also able to better reflect the customer's credit situation, it cannot quickly and accurately grasp the trend of customer change due to the lack of timeliness.

From this dissertation, we found that the strengthening of commercial bank credit risk supervision and management has some significance in the development of China's credit risk areas. Also, determine the cause and level of credit risk is the foundation of credit risk measurement management. Based on the analysis of KMV model, it is found that the model can improve and supplement the internal rating system of C bank Chongqing branch, and strengthen the dynamic monitoring and timeliness of the internal rating system.

Item Type: Dissertation (University of Nottingham only)
Depositing User: Liu, Yue
Date Deposited: 10 Mar 2017 16:19
Last Modified: 13 Mar 2017 12:37
URI: http://eprints.nottingham.ac.uk/id/eprint/36709

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