Abstract
The New Basel Capital Accord will be implemented in the end of 2006 the Christian era. Although it allows the financial institution can estimate the Probability of Default of their customers by themselves, the procedure of calculating the Minimum Capital Requirement must follow the regulations of accord. It follows the average spirit to set the Minimum Capital Requirement, so it can’t reflect the real Credit Risk of their portfolio of risky assets. Finally we can say that the Credit Risk management style is passive. This research thinks that to manage the Credit Risk must be positive, so the research wants to establish another system to measure the Credit Risk and to help the old Credit Risk management. According to the Above-mentioned, we will establish a Credit Risk system based on CreditMericsTM and the Credit Spread will be calculated found on the model of Jarrow, Lando and Turnbull（1997）. It solves the problem that the data of bonds is not complete in Taiwan market. Finally, we use the Credit Risk system to calculate the Credit Risk of some loan materials that are supplied by the some one bank. And we find that the Credit Risk system we establish can appear the marginal effect to Credit Risk clearly when there are some new loans be added to the old portfolio. So the system will help the financial institutions in Taiwan to manage the Credit Risk and it will give a lot of useful information for Credit Risk.