Application of the Credit Metrics in the Credit Risk Management of Commercial Banks

摘要

Credit risk is one of the main risks the commercial banks faces all over the world,especially in the risk structure of the banks of China.In order to control credit risk more scientifically,we shall connect the qualitative analysis and the quantitative analysis.Put forward by J.P.Morgan Credit Metrics model is the application of the VaR in the field of credit risk,showing great advantage in quantitative bonds and credit risk of loan.This paper studies the Credit Metrics model and analyzes the hypothesis and framework of this model,attempting to explore the application of the model in China in order to promote the realization of the risk quantification of the commercial banks of China.