Abstract: Considering the effect of credit risk migration on the loan and by introducing the credit risk migration into the calculation of loan’s yield, the corresponding annual expected values of the loan’s yields for various corporations can be obtained. Based on the credit risk migration, a portfolio yield and portfolio risk measuring model is developed. Firstly, it is considered that the credit rating migration has a significant impact on the calculation of the loan’s yield. It can objectively reflect the relation between real yield and risk. As a result, the problem of simply seeking the expected value of each loan’s yield and accordingly ignoring the credit risk migration can be solved. Secondly, based on credit risk migration theory, the default risk and portfolio default risk can be calculated and consequently a measuring model for loan portfolio risk is developed. Therefore, the problem involving default risk ignoring and the irrational measurement of portfolio risk can be solved.