1. Depending on whether the risk can be dispersed. It can be divided into systematic credit risk and unsystematic credit risk.

Systemic credit risk refers to the credit risk that will affect various financial instruments and cannot be offset or weakened by dispersion.

Non-systematic credit risk refers to the credit risk related to a specific object, which can be controlled by decentralized strategy.

2. According to the form of risk. It can be divided into pre-settlement risk and settlement risk.

Pre-settlement risk refers to the risk brought by the counterparty's default before the settlement date stipulated in the contract.

As a special credit risk, settlement risk refers to the risk that one party pays the contract funds and the other party defaults in the settlement process. Settlement risk is very common in foreign exchange transactions, involving settlement transactions in different currencies at different times.

3. According to the characteristics of risk exposure and different risk subjects, it can be divided into six categories: sovereign credit risk exposure, financial institution credit risk exposure, retail credit risk exposure, corporate credit risk exposure, equity credit risk exposure and other credit risks exposure, which are collectively called non-retail credit risk exposure.

(B) credit risk control means

Common credit risk control means include determining the expected credit person and exit policy, quota management, risk mitigation, risk pricing, etc.

1. Credit access and exit

(1) Credit access. Credit access refers to the minimum requirements for banks to set up a certain credit business or product by formulating credit policies. Common factors considered in quasi-credit strategy include customer's credit rating, customer's financial and operating conditions, risk-adjusted return (RAROC) and so on.

(2) Credit withdrawal. Credit withdrawal means that banks recover loans beyond their risk tolerance on the basis of risk-return assessment of existing credit assets, so as to reduce the total risk and optimize the credit structure.

2. Limit management

Limit refers to the upper limit set by banks on the risks they take according to their own risk preference, risk-taking ability and risk management strategy, so as to prevent banks from taking excessive risks.

3. Risk slow release

Credit risk mitigation means that banks use qualified collateral, netting, guarantee and credit derivatives to transfer or reduce credit risk. The credit risk mitigation function can be reflected in default probability, default loss decline or default risk exposure.

(1) collateral. Common collateral includes financial collateral, accounts receivable, commercial real estate and residential real estate, land use rights, etc. The risk mitigation function of collateral is reflected in the customer's default. Banks can increase the amount of recovery and reduce the loss of default by disposing of collateral.

(2) guarantee. The slow release function of the guarantee is that when the customer defaults, the guarantor will repay all or part of the debt on his behalf to improve the recovery rate.

(3) Credit derivatives. Common derivatives include credit default swaps, total income swaps, credit-linked notes and credit spread options.

(4) net settlement. The slow-release effect of net settlement is mainly reflected in reducing exposure at the time of default.

4. Risk pricing

Banks should take risks and get corresponding returns. Credit risk is also a kind of cost faced by banks, which needs to be covered by risk pricing and the corresponding risk reserve should be set aside to offset the actual losses.

Credit risk measurement of test center 2

1. Credit risk parameters

By measuring different risk parameters, commercial banks can reflect the credit risk level undertaken by banks from different dimensions. Common risk parameters include default probability, default loss, default risk exposure, validity period, expected loss and unexpected loss.

(1) Default probability. The probability of default is the probability that the debtor will default in the future (usually one year).

(2) loss given default (1GD). Default loss refers to the proportion of losses caused by debt default to the risk exposure of default debt. That is, the percentage of loss to total risk exposure.

(3) Default risk exposure. Exposure at default refers to the expected total risk exposure of on-balance sheet and off-balance sheet items when the debtor defaults, reflecting the total possible losses.

(4) Validity period (m). Term of validity refers to the remaining term of validity of the debt.

(5) Expected loss. Based on the above risk parameters, the expected loss can be calculated according to the following formula:

Expected loss: default probability x default loss x default risk.

(6) unexpected losses. The measurement of unexpected loss is much more complicated than the expected loss. The combination of unexpected loss is not a simple addition of a single debt and unexpected loss, but is closely related to the correlation between debts.

2. Measurement of credit risk-weighted assets

Credit risk-weighted assets are equal to the product of credit risk exposure and risk weight, which comprehensively reflects the risk level of bank credit assets. The Measures for Capital Management of Commercial Banks (Trial) stipulates two methods for calculating credit risk-weighted assets: for commercial banks that do not implement the internal rating method, the weight method is adopted; For banks that implement the IRB method, the IRB method is used for off-balance sheet assets covered by the IRB method, and the weighting method is used for off-balance sheet assets not covered.

(1) weight method. Using the weight method, the credit risk-weighted assets are the sum of the credit risk-weighted assets in the bank account table and the credit risk-weighted assets in the off-balance-sheet items.

Under the weight method, the assets in the balance sheet are divided into 17 categories. According to the nature and risk of each asset class, different weights are given, * * * is divided into 0,20%, 25%, 50%, 75%, 100%, 150%, 250%, 150%.

The off-balance-sheet assets of banks are divided into 1 1 categories, and different credit conversion coefficients of four grades, such as 0, 20%, 50% and 100%, are specified for different categories.

(2) Internal rating method. Internal rating method is divided into primary internal rating method and advanced internal rating method. The difference between the two is that under the primary IRB method, the bank estimates the default probability by itself, but calculates the given default loss, default risk exposure and term according to the rules provided by the regulatory authorities. Under the advanced internal rating method, banks can estimate the default probability, default loss, default risk exposure and term by themselves. Retail credit risk exposure. There is no distinction between primary method and advanced method, that is, banks should estimate default probability, default loss, default risk exposure and term by themselves.

① Non-retail risk exposure internal rating system. Commercial banks use internal rating method to calculate credit risk-weighted assets, and should determine the risk level of each non-retail risk exposed debtor and debt through internal rating. Each debt of the debtor should be rated.

② Retail risk exposure risk sharing system. The so-called risk pool is to allocate each retail risk exposure to the corresponding asset pool according to the characteristics of risk, transaction and overdue information, and then estimate the risk parameters such as PD, 1GD and EAD. Compared with non-retail risk exposure, retail risk exposure has the obvious characteristics of large number of transactions, small single risk exposure and scattered risk, which determines that commercial banks generally adopt a combination approach to manage retail business.