A mature credit risk management (CRM) framework determines to a great extent the strength of a banking system in general and its financial performance in particular. Evaluation of the maturity of a CRM framework however, suffers from a lack of reliable measure and thus it is considered as a challenge at both policy and operational levels. To determine the CRM index in banking sector, as proposed here, the constructs are explained and weighted using cognitive mapping; next, for validating the index, extracted scores are compared with non-performing loans (NPL) ratios of the Iranian banks. Findings analysis indicates that suitable infrastructure, methods; and strategies and policies, are three important components of credit risk management with relative importance scores of 49, 28, and 23 consecutively.