In recent years, western commercial banks, especially those advanced banks, have made full use of the latest research results of modern mathematical statistics, explored many methods to measure the probability of customer default, and made great achievements. Looking at the practical development of default probability measurement, it shows the following characteristics and trends: from ordinal default probability to cardinal default probability, the measurement of default probability is more and more specific; From the measurement of default probability of a single loan to the joint default probability of a combined loan; From only considering the borrower's own microeconomic characteristics to considering the influence of macroeconomic factors; From static measurement based on historical data to dynamic measurement based on prediction; From single technology to multi-technology, the measurement technology of default probability is more modern, reflecting interdisciplinary, and the measurement is more scientific and accurate. The measurement methods of default probability of western commercial banks can be summarized into four categories:

1. Measurement method based on historical data of internal credit rating, that is, commercial banks and rating companies take the average value of historical default probability as the corresponding default probability of enterprises under different credit ratings according to historical credit rating data accumulated for a long time;

2. The measurement method based on option pricing theory is a credit monitoring model established by KMV company in the United States by using option pricing theory, also known as KMV model. It is a forward-looking dynamic model, which is mainly suitable for measuring the default probability of publicly listed companies;

3. The measurement method based on actuarial science is to estimate the expected default probability in recent years with the tool of insurance thought;

4. Measurement method based on risk-neutral market principle. The so-called risk-neutral market means that in the market where assets are traded, all investors are willing to get the same expected return from any risk-free assets, and all asset prices can be calculated by discounting the expected future cash flow of assets at the risk-free interest rate. Compared with the historical transfer probability, the risk neutral model gives a forward-looking default prediction.