巴塞尔协议Ⅲ下我国商业银行信用风险研究

发布时间：2018-01-12 10:37

本文关键词：巴塞尔协议Ⅲ下我国商业银行信用风险研究　出处：《南京财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：金融是现代经济的核心，在市场经济中发挥着越来越重要的作用，而占据金融主体地位的商业银行更是政府调节经济的重要渠道。随着经济和金融全球化进程的不断深入，我国商业银行在国际舞台上既面临着机遇又面临着挑战，尤其是《巴塞尔协议Ⅲ》的出台更是给国际商业银行带来了一场革命，使得国际商业银行不得不面临更大的困难。从我国商业银行的角度分析，由于我国监管部门对我国商业银行监管的要求要高于其他国家，所以短期内我国商业银行相比于其他国家商业银行有明显的优势，我国商业银行应该抓住这次机遇增强其在国际上的影响力，不过从长期来看，我国商业银行也将面临着许多困难，如经营模式改革、信用风险的监管、流动性风险的预防等，我国商业银行只有处理好这些问题，才能战胜对手。本文以我国的16家上市商业银行为研究对象，其中重点研究的是上市商业银行的信用风险。本文首先总结了国内外关于信用风险度量的各种研究，重点是各种度量模型的发展进程，紧接着分析了《巴塞尔协议Ⅲ》的影响，其中包括对国际商业银行和我国商业银行两个方面。论文的第三部分分析了我国商业银行信用风险状况，同时介绍了几种重要的研究信用风险的模型，并且分析了各自的优缺点,尤其是KMV模型。在文章的第四部分作者对KMV模型进行了修正，修正的重点是违约距离计算中长期贷款的系数m，通过对不同m值的检验，作者得出最佳的m值为0.3，在此基础之上论文测算了我国上市商业银行的违约距离，并且通过分析发现我国上市商业银行的违约的可能性非常高。论文的最后一部分是政策建议部分，作者根据论文的分析有针对性的提出了以下几点政策性建议：控制地方融资平台信用风险，，完善信用风险管理体系，增强盈利能力，提高资本储备，加强流动性监管。希望本文的研究能对《巴塞尔协议Ⅲ》的推行以及我国商业银行的发展有一定的促进作用。
[Abstract]:Finance is the core of modern economy, plays an increasingly important role in market economy, and occupy the financial subject position of commercial banks is an important channel for the government to regulate the economy. With the development of economic and financial globalization process, China's commercial banks in the international arena is facing opportunities and challenges. Especially "Basel 3 > has brought a revolution to the commercial bank, the international commercial banks have to face greater difficulties. From the analysis of China's commercial banks, due to China's regulatory requirements for commercial banks in China is higher than that of other countries, so in the short term than me commercial banks to commercial banks in other countries have the obvious advantage of China's commercial banks should seize this opportunity to strengthen its influence in the world, but in the long term, taking Ye Yin in China Banks will also face many difficulties, such as business mode reform, credit risk regulation and liquidity risk prevention. Only when these problems are handled well, can China's commercial banks overcome their opponents.
In this paper, 16 listed commercial banks in China as the research object, which focuses on the credit risk of listed commercial banks. This paper summarizes the research on credit risk measurement at home and abroad, focusing on the development process of all kinds of measurement model, then analyzes the influence of the Basel agreement > < III, including the international commercial bank and Commercial Bank of China in two aspects. The third part analyzes the credit risk of commercial banks in China, and introduces several important credit risk models, and analyzes their advantages and disadvantages, especially the KMV model. In the fourth part of the article the author modifies the KMV model. The key is the correction coefficient m default distance calculation of long-term loans, through the test of different m values, the author obtained the best m value is 0.3, on this basis the paper estimates listed The commercial bank's default distance, and through the analysis of China's listed commercial banks the possibility of default is very high. The last part is the policy recommendations according to the analysis of this part, the author puts forward the following suggestions: control of local financing platform credit risk, improve the credit risk management system. To enhance profitability, improve capital reserves, strengthen the liquidity supervision. I hope this research will have a certain role in promoting the "Basel accord > and the implementation of the development of China's commercial banks.

【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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