我国商业银行信用风险度量实证研究

发布时间：2018-05-01 17:26

本文选题：信用风险 + 巴塞尔协议　；参考：《安徽大学》2013年硕士论文

【摘要】：作为现代经济生活中最为重要的金融主体,商业银行在经营过程中面临的最主要风险是信用风险。如何有效防范和化解信用风险成为各国监管机构和银行从业者最为关心的问题。巴塞尔新资本协议提出了以最低资本要求、监督检查以及市场约束为三大支柱的银行业监管制度框架,为各国金融监管机构如何规范银行经营活动,控制银行风险提供有效的指导。在新资本协议中更为突出风险量化管理的作用并倡导各国商业银行使用现代化信用风险度量模型加强对信用风险的管理。借助于计算机的发展,国外诸多银行对信用风险的管理均已完成了由定性分析到量化分析的转变。风险管理技术日趋成熟,产生了以Credit Metrics模型、Credit Risk+模型、Credit Portfolio View模型和KMV模型为代表的现代信用风险度量模型。我国商业银行在信用风险度量方法上与国际先进银行存在较大差距,目前仍定性分析为主,缺乏定量分析,无法有效衡量银行信用风险大小,不符合巴塞尔委员会对银行监管的要求。伴随着我国银行业的高速发展,我国商业银行应该结合自身信用风险管理现状,借鉴现代信用风险计量模型,推进信用风险的量化管理。本文主要研究信用风险度量模型在我国应用,在对信用风险及信用风险管理概念进行阐述的基础上,从巴塞尔新资本协议视角提出信用风险的量化管理,并对传统信用风险度量方法以及现代信用风险度量模型进行了简要介绍；而后详细分析了我国信用风险管理现状和应用现代化度量模型的必要性,通过对Credit Metrics模型、Credit Risk+模型、CPV模型和KMV模型在我国应用的可行性分析,得出现阶段KMV模型相对在我国具有一定的应用基础和条件；随后通过KMV模型对我国上市公司的实证分析,验证了该模型预测违约的有效性；最后根据实证结论提出相关对策和建议。本文在研究过程中使用了定性和定量结合的方法,在对现代信用风险度量模型进行定性分析比较的基础上选用KMV模型进行实证分析。实证过程中,对相关参数进行了适当的修订,对违约临界点(DP)的确定结合已有学者的研究进行了如下的修订：违约临界点(DP)＝流动负债(STD)＋10%长期负债(LTD)。由于缺乏上市企业违约历史资料,违约距DD到预期违约概率EDF的映射采用较为传统的理论计算进行估计。另外本文还采用理论和实践结合的方法,从理论上对信用风险度量进行了深入研究,得出我国商业银行需要加强对信用风险的量化管理；从实践上使用KMV模型对我国上市公司的违约进行预测和验证,为我国商业银行进行量化风险管理提供借鉴和指导。
[Abstract]:As the most important financial subject in modern economic life, the main risk faced by commercial banks in the course of operation is credit risk. How to effectively prevent and resolve credit risk has become the most concerned problem for regulators and bank practitioners in various countries. The Basel New Capital Accord provides a framework of banking regulatory systems with minimum capital requirements, supervision and inspection, and market constraints as the three pillars. To provide effective guidance in controlling bank risk. In the new capital agreement, the role of risk quantification management is more emphasized and commercial banks of various countries are advocated to use modern credit risk measurement model to strengthen the management of credit risk. With the development of computer, the management of credit risk in many foreign banks has changed from qualitative analysis to quantitative analysis. Risk management technology is becoming more and more mature, and a modern credit risk measurement model, represented by Credit Metrics model, credit Risk model, credit Portfolio View model and KMV model, has emerged. There is a big gap between China's commercial banks and international advanced banks in the measurement of credit risk. At present, the qualitative analysis is still dominant and the quantitative analysis is lacking, which can not effectively measure the size of the bank's credit risk. It does not meet the Basel Committee's requirements for bank supervision. With the rapid development of China's banking industry, Chinese commercial banks should use the modern credit risk measurement model for reference in order to promote the quantitative management of credit risk. This paper mainly studies the application of credit risk measurement model in China. On the basis of expatiating the concept of credit risk and credit risk management, the paper puts forward the quantitative management of credit risk from the perspective of Basel New Capital Accord. The traditional credit risk measurement method and the modern credit risk measurement model are briefly introduced, and then the present situation of credit risk management and the necessity of applying modern measurement model in China are analyzed in detail. Based on the feasibility analysis of the application of Credit Metrics Risk model and KMV model in China, it is concluded that the current KMV model has a certain application foundation and conditions in China, and then the empirical analysis of listed companies in China is made through KMV model. The validity of the model in predicting default is verified, and the relevant countermeasures and suggestions are put forward according to the empirical conclusions. In this paper, the qualitative and quantitative methods are used in the research process, and the KMV model is selected for empirical analysis on the basis of qualitative analysis and comparison of the modern credit risk measurement model. In the empirical process, the relevant parameters have been revised appropriately, and the determination of the default critical point (DPN) has been revised as follows: the default critical point is DPN = the current debt is 10% STD + 10% long term debt (LTD + 10%). Due to the lack of historical data of default of listed enterprises, the mapping from DD to expected default probability (EDF) is estimated by traditional theoretical calculation. In addition, this paper also uses the method of combining theory and practice to study the measurement of credit risk in theory, and draws the conclusion that our commercial banks need to strengthen the quantitative management of credit risk. In practice, the KMV model is used to predict and verify the default of listed companies in China, which provides reference and guidance for Chinese commercial banks to carry out quantitative risk management.
【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4

【参考文献】