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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，F(xiàn)inally,usingtheLogisticmod—elonthelistedcompany’Screditris
6、kmeasurement．Chapterfourisanothermaincontentinthispaper．ItintroducesthebasicprinciplesofKMVmodel．Becausetimeseriesdatahavethepeaks，heavytailsandheteroscedasticitycharacteristics，Weadoptstudents—tdistributionandgeneralizederrordistributiontodescribethefattailcharacte
7、ristics，AndusingheteroskedasticitymodelGARCHmodel，TGARCHmodelandtheEGARCHmodeltoprocessdataheteroscedasticity．Thencreateasuitablemodeltoestimatethevolatilityofequity，andfinallycalculatethedefaultdistancetomeasurecreditrisk．Wetestthedefaultdistancefromdifferentmodel，
8、TheresultsshowthatthemodelcoulddistinguishSTfirmsandnormalcompanies．Chapterfiveisthesummaryofthispaper．KeyWords：Creditrisk；Quantitativemod
