基于修正信用评价法的商业银行不良资产价值评估研究

发布时间：2018-03-03 03:27

本文选题：不良资产　切入点：熵权法　出处：《江西财经大学》2016年硕士论文　论文类型：学位论文

【摘要】：在1989年8月,美国曾经创立了美国资产重组托管公司(RTC),其主要目的是对破产企业所有的资产进行重组清理,它的成功实践成为了全世界金融机构重整的成功范例之一。我国在商业银行不良资产价值评估问题的研究上起步较晚,在20世纪末我国先后成立了四家金融资产管理公司,主要作用是集中处置各类不良资产。随着近年来我国银行业的飞速发展,银行业的规模不断扩大的同时所带来的问题也逐渐凸显,其中不良资产额度逐年攀升就是问题之一。在过去的2015年里,我国商业银行的不良贷款余额和不良贷款率都出现持续大幅攀升的现象。在经济结构大调整和企业信用违约呈现常态化的趋势下,我国各大商业银行不良资产额将进一步升高。因此,基于商业银行现有的大环境下,对商业不良资产的价值进行合理有效的评估显得尤为重要。本文主要讨论了商业银行不良资产价值评估的具体运用,在针对商业银行不良资产价值评估方法中主要研究了信用评价法,对商业银行不良资产价值评估方法进行补充和改进。信用评价法利用评价机构对被评估企业的财务指标及非财务指标进行综合评估的一种方法。在信用评价法研究中重点提出了非财务指标在评估过程中的重要性,并创新性地采用熵权法对财务指标和非财务指标进行客观赋权,结合收益法利用贷款本金和贷款利息的可回收价值之和作为商业银行不良资产的可回收价值。最后本文通过具体的案例分析,先用客观赋权的信用评价法进行不良资产价值评估,再与主观赋权的信用评价法以及不考虑非财务指标的信用评价法进行对比分析,发现本文采用的基于修正信用评价法的不良资产价值评估模型得出的结论更加接近实际情况,最后的评估结果也体现了资产评估的公允性和科学性。但是信用评价法也存在不足之处,因为信用评价法以各种财务指标及非财务指标为基础,各种指标的估算受到企业财务报表的约束,若案例公司的资料收集渠道不畅或收集的财务数据不真实,估算出来的各指标的权重就不精确,会导致最后的评估结果存在偏差,这些问题将在后续的研究中进行改进。
[Abstract]:In August 1989, the United States created the United States Asset restructuring Trust Company (RTCX), the main purpose of which is to restructure and clean up all the assets of a bankrupt enterprise. Its successful practice has become one of the successful examples of the restructuring of financial institutions all over the world. In China, the research on the evaluation of the value of non-performing assets of commercial banks started relatively late. At the end of 20th century, four financial asset management companies were set up in China. With the rapid development of China's banking industry in recent years, the scale of the banking industry continues to expand, and the problems brought by the banking industry are also gradually highlighted. One of the problems is that the amount of non-performing assets is rising year by year. In the past 2015, Both the balance of non-performing loans and the rate of non-performing loans of commercial banks in China continue to rise substantially. Under the trend of economic restructuring and enterprise credit default showing a trend of normality, The amount of bad assets of the major commercial banks in China will rise further. Therefore, under the existing environment of commercial banks, It is particularly important to evaluate the value of commercial non-performing assets reasonably and effectively. In order to evaluate the value of non-performing assets of commercial banks, the paper mainly studies the method of credit evaluation. To supplement and improve the evaluation method of non-performing assets of commercial banks. A method for comprehensive evaluation of financial and non-financial indicators of enterprises assessed by credit evaluation method. Emphasis is placed on the importance of non-financial indicators in the evaluation process, And innovatively uses entropy weight method to carry on the objective empowerment to the financial index and the non-financial index. Combined with the income approach, the sum of the recoverable value of loan principal and loan interest is used as the recoverable value of non-performing assets of commercial banks. First, the value of non-performing assets is evaluated by the objective weighting credit evaluation method, then compared with the subjective weighting credit evaluation method and the credit evaluation method which does not consider the non-financial indicators. It is found that the conclusion of the model based on the modified credit evaluation method is closer to the actual situation. The final evaluation results also reflect the fairness and scientific nature of the asset evaluation. However, the credit evaluation method also has some shortcomings, because the credit evaluation method is based on various financial indicators and non-financial indicators. The estimation of various indicators is constrained by the financial statements of the enterprise. If the data collection channel of the case company is not smooth or the financial data collected is not true, the weight of the estimated indicators will not be accurate, which will lead to the deviation of the final evaluation results. These problems will be improved in subsequent studies.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.4

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