A银行内部信用评级方法的优化研究

发布时间：2018-03-18 21:06

本文选题：银行　切入点：信用评级　出处：《中南大学》2013年硕士论文　论文类型：学位论文

【摘要】：信用风险是银行面临的最主要风险,科学的评价和管理信用风险对于银行业经营至关重要。从上个世纪五十年代以来,银行的内部信用评级方法经历了主观判断、分析模板、打分卡和模型化分析的演变过程,与银行业务发展和风险分析技术同步发展。银行监管部门也提出了标准法、内部评级法等方法用来衡量信用风险,代表着银行内部信用评级方法的改进方向。而我国银行业内部信用评级技术、手段与监管标准和国际先进经验还存在较大差距,亟需提出符合现状的优化方案。本文在研究银行内部评级理论的基础上,分析我国银行内部评级方法应具备的一般性要求。随后,采用实证研究的方法,分析A银行内部信用评级所采用的方法及其优缺点。在研究过程中,本文针对A银行原始数据积累的不足、无法依靠违约概率模型评估客户违约信息的现状,提出短期内结合打分卡方法与违约概率模型方法相结合评估客户违约信息,并在长期内向违约概率模型方法过渡的优化方案。本文在某商业银行企业违约数据基础上,借助因子分析技术,分析了各财务指标在解释违约概率上的有效程度,一方面为优化打分卡指标设计和权重安排提出客观依据,并就A银行基于打分卡体系的评级系统作了具体设计示范。另一方面,为违约概率模型进一步设计奠定基础。
[Abstract]:Credit risk is the most important risk faced by banks. It is very important to evaluate and manage credit risk scientifically. Since -50s, the internal credit rating method of banks has experienced subjective judgment and analysis template. The evolving process of scorecard and model-based analysis has been synchronized with the development of banking business and risk analysis techniques. Bank regulators have also proposed standard methods, internal rating methods, and other methods to measure credit risk. It represents the direction of improvement of the internal credit rating method of banks. However, there is still a big gap between the internal credit rating technology and the standard of supervision and the international advanced experience in our banking industry, so it is urgent to put forward the optimization scheme in line with the present situation. On the basis of studying the internal rating theory of banks, this paper analyzes the general requirements of the internal rating methods of banks in China. This paper analyzes the methods of internal credit rating of Bank A and its advantages and disadvantages. In the course of the research, this paper can not rely on the default probability model to evaluate the current situation of customer default information in view of the deficiency of the original data accumulation of Bank A. This paper proposes an optimal scheme to evaluate customer default information with the combination of scorecard method and default probability model method in the short term, and to transfer the default probability model method into default probability model in a long time. Based on the default data of a commercial bank, this paper proposes an optimal scheme for evaluating customer default information. With the help of factor analysis technology, this paper analyzes the effective degree of each financial index in explaining the probability of default. On the one hand, it provides an objective basis for optimizing the design of scorecard index and weight arrangement. On the other hand, it lays a foundation for the further design of the default probability model.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.3

【共引文献】