Credit risk measures the possibility of a decline in an asset price resulting from a change in the credit quality of a counterparty or issuer (e.g., counterparty in an OTC transaction, issuer of a bond, reference entity of a credit default swap). Credit risk increases when the counterparty's perceived probability of default or rating downgrade increases. Five main credit risk measurement methodologies are discussed in this review .Operational risk is defined by the Basel Committee as "the risk of loss resulting from inadequate or failed internal processes, people and systems, or from external events." Thus, operational risk can result from such diverse causes as fraud, inadequate management and reporting structures, inaccurate operational procedures, trade settlement errors, faulty information systems, or natural disaster. Credit risk is the next best understood financial risk after market risk and lot of discussion is being done on market risk so we will study Credit Risk in this paper.