中国商业银行信贷风险的度量研究

发布时间：2018-04-22 10:39

本文选题：商业银行 + 信贷风险　；参考：《浙江大学》2013年硕士论文

【摘要】：信贷风险一直是我国商业银行面临的最主要的风险。信贷风险度量的研究有利于商业银行做好有效的风险防范机制和减少信贷损失。本文主要根据国内商业银行信贷风险研究现状,旨在研究科学、有效且更符合实际的信贷风险度量模型来提高信贷风险度量的准确性,并为国内信贷风险所面临的问题提供合理的政策建议。本文概括介绍了目前商业银行信贷风险的研究现状以及国内外常用的商业银行信用贷款风险度量模型,并对各个模型的优缺点进行了对比分析。为了提高信贷违约度量的准确性,本文通过结合国内实际情况和综合各种模型的优势,提出一种基于数据融合的LSD度量模型来评估商业银行信贷风险违约情况(指违约、不违约)。为了验证模型的有效性和准确性,本文根据商业银行财务数据样本对新提出的LSD模型与单一Logit模型和支持向量机模型进行对比分析。实证结果表明LSD模型比Logit模型或支持向量机对银行信贷违约度量具有更高的准确性和有效性,适用于中国商业银行信贷违约度量。最后基于模型分析结果以及国内社会、经济环境实际情况,本文对我国商业银行信贷风险所面临的挑战提出针对性的政策建议,以提高我国商业银行的国际竞争力。
[Abstract]:Credit risk has always been the most important risk faced by commercial banks in China. The study of credit risk measurement is helpful for commercial banks to do a good job of risk prevention mechanism and reduce credit losses. According to the present situation of domestic commercial banks' credit risk research, this paper aims to study the scientific, effective and more practical credit risk measurement model to improve the accuracy of credit risk measurement. And provide reasonable policy advice for domestic credit risk problems. This paper briefly introduces the current research situation of commercial bank credit risk and the domestic and foreign commercial bank credit loan risk measurement model, and makes a comparative analysis of the advantages and disadvantages of each model. In order to improve the accuracy of credit default measurement, this paper proposes a LSD metric model based on data fusion to evaluate the credit risk default of commercial banks by combining the domestic actual situation and the advantages of various models. No breach of contract. In order to verify the validity and accuracy of the model, this paper compares the proposed LSD model with the single Logit model and the support vector machine model according to the financial data samples of commercial banks. The empirical results show that the LSD model is more accurate and effective than the Logit model or support vector machine for the credit default measurement of Chinese commercial banks. Finally, based on the results of the model analysis and the actual situation of the domestic social and economic environment, this paper puts forward targeted policy recommendations on the challenges facing the credit risk of our commercial banks in order to improve the international competitiveness of our commercial banks.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4

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