The paper introduces Credit Metric of JP Morgan to the research of credit risk of commercial banks, calculates the credit risk VaR of commercial banks of our country by stylebook analysis and evaluates the credit risk and capital requirement of them.

• 本文将JP Morgan信用风险计量法引入我国商业银行信用风险的研究,通过样本分析对商业银行信用风险的var进行测算,进而对银行的信用风险状况和资本要求进行评估。