Foreign credit risk analysis models mainly include KMV credit supervision model, credit measurement technology, CSFP credit risk supplemental calculation model and Mekinsey Model. According to the status quo of China banks, Chinese scholars should make experiments on credit risk models in the aspects of emphasizing financial analysis of loan enterprises, emphasizing relative indexes analysis of commercial banks and emphasizing credit risk from such two angles as banks and enterprises. Credit risk early--warning models can be constructed by using time series analysis method and ARMA model.