商业银行贷后信用风险管理研究
发布时间：2018-08-17 15:49
【摘要】：信用风险管理是贷后管理的核心。论文以Y银行为案例,分别从政府、企业和商业银行自身分析了Y银行贷后信用风险形成的原因,并总结了商业银行贷后信用风险管理过程种存在主要问题。论文以Y银行在贷后信用风险管理中存在问题为基础,解读了巴塞尔新本协议对贷后信用风险管理所提供的管理建议,分别从贷后信用风险管理的识别、度量和控制三个方面提出了解决中国商业银行贷后信用风险管理问题的对策建议。贷后信用风险的识别主要解决三个层面的问题,第一层面是哪些因素被列入管控；第二层面为哪些因素可能最终导致信用风险；第三个层面则是各个因素所导致的风险程度的大小。 本文借鉴巴塞尔新资本协议所提出的内部评级法,并对该方法进行了适用性研究和拓展,从而作为商业银行贷后信用风险度量的主要方法。内部评级法的应用需要商业银行的内部系统具备三个条件：(1)内部评级应保证违约率和违约损失率两个指标的可测性和准确性；(2)科学划分信贷资产的风险级别；(3)保证内部评级过程的系统性和完整性。内部评级法适用的关键问题在于违约率和违约损失率的度量,两个指标都有多种度量方法可供选择,商业银行需要根据经济形势需要和自身的风险管理水平选择适合的方法。 本文从制度和文化、技术两个层面对贷后信用风险管理进行分析并给出管理建议。制度层面上的主要建议为：(1)构筑健全法律体系和社会信用体系；(2)培养风险管理文化,提高风险管理意识；(3)完善内部治理机制,提高激励效率；(4)加强风险管理培训,大力引进风险管理人才。技术层面的则主要从信贷资产分级管理、金融衍生工具的应用和贷后业务外包方面提出相应的管理建议。
[Abstract]:Credit risk management is the core of post-loan management. Taking Y Bank as an example, this paper analyzes the causes of the formation of post-loan credit risk of Y Bank from the government, enterprises and commercial banks, and summarizes the main problems in the process of post-loan credit risk management of commercial banks. Based on the existing problems in the post-loan credit risk management of Y Bank, this paper interprets the management suggestions provided by the Basel New Accord on the post-loan credit risk management, respectively, and identifies the post-loan credit risk management. Three aspects of measurement and control are put forward to solve the problem of credit risk management of Chinese commercial banks. The identification of post-loan credit risk mainly solves the problem of three levels, the first level is which factors are included in the control, the second level is which factors may lead to the credit risk. The third level is the level of risk caused by various factors. This paper draws lessons from the internal rating method proposed by the Basel New Capital Accord, and studies and extends the applicability of the method, thus serving as the main method to measure the credit risk of commercial banks after loan. The application of internal rating method requires the internal system of commercial banks to have three conditions: (1) the internal rating should ensure the measurability and accuracy of default rate and default loss rate, (2) the risk level of credit assets should be classified scientifically. (III) ensure the systematization and integrity of the internal rating process. The key problem of internal rating method is the measurement of default rate and default loss rate. Both indexes have many kinds of measurement methods to choose. Commercial banks need to choose suitable methods according to the economic situation and their own risk management level. This paper analyzes the credit risk management after loan from the two aspects of system, culture and technology, and gives some management suggestions. The main suggestions are: (1) to build a sound legal system and social credit system; (2) to cultivate the culture of risk management and raise the awareness of risk management; (3) to perfect the internal governance mechanism and improve the incentive efficiency; (4) to strengthen the training of risk management. Vigorously introduce risk management personnel. The technical level is mainly from the credit asset classification management, the application of financial derivatives and loan outsourcing aspects of the corresponding management recommendations.
【学位授予单位】：广西师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33
本文编号：2188134
[Abstract]:Credit risk management is the core of post-loan management. Taking Y Bank as an example, this paper analyzes the causes of the formation of post-loan credit risk of Y Bank from the government, enterprises and commercial banks, and summarizes the main problems in the process of post-loan credit risk management of commercial banks. Based on the existing problems in the post-loan credit risk management of Y Bank, this paper interprets the management suggestions provided by the Basel New Accord on the post-loan credit risk management, respectively, and identifies the post-loan credit risk management. Three aspects of measurement and control are put forward to solve the problem of credit risk management of Chinese commercial banks. The identification of post-loan credit risk mainly solves the problem of three levels, the first level is which factors are included in the control, the second level is which factors may lead to the credit risk. The third level is the level of risk caused by various factors. This paper draws lessons from the internal rating method proposed by the Basel New Capital Accord, and studies and extends the applicability of the method, thus serving as the main method to measure the credit risk of commercial banks after loan. The application of internal rating method requires the internal system of commercial banks to have three conditions: (1) the internal rating should ensure the measurability and accuracy of default rate and default loss rate, (2) the risk level of credit assets should be classified scientifically. (III) ensure the systematization and integrity of the internal rating process. The key problem of internal rating method is the measurement of default rate and default loss rate. Both indexes have many kinds of measurement methods to choose. Commercial banks need to choose suitable methods according to the economic situation and their own risk management level. This paper analyzes the credit risk management after loan from the two aspects of system, culture and technology, and gives some management suggestions. The main suggestions are: (1) to build a sound legal system and social credit system; (2) to cultivate the culture of risk management and raise the awareness of risk management; (3) to perfect the internal governance mechanism and improve the incentive efficiency; (4) to strengthen the training of risk management. Vigorously introduce risk management personnel. The technical level is mainly from the credit asset classification management, the application of financial derivatives and loan outsourcing aspects of the corresponding management recommendations.
【学位授予单位】：广西师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33
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