临商银行信用风险管理研究

发布时间：2018-01-14 03:22

本文关键词：临商银行信用风险管理研究　出处：《中国海洋大学》2012年硕士论文　论文类型：学位论文

【摘要】：金融是现代经济的核心,而银行业又在一国金融系统中占有重要的地位。资产业务是商业银行的主要业务,也是信用风险最大集中区域。因此银行的信用风险管理是银行持续发展的核心问题,也是银行竞争力的重要体现,从巴塞尔协议订立之初,银行的信用风险管理就受到了广泛的关注。本文的主要研究目的是期望通过研究以巴塞尔新资本协议反映出的银行信用风险管理发展趋势,深入分析国际银行业先进的信用风险管理工具和理念,并结合临商银行的实际,研究新时期商业银行信用风险管理方法,在此基础上,推动新资本协议下内部评级法及先进信用风险管理模式在临商银行的建立,最终建立适应临商银行信用风险管理状况的现代管理方法和管理体系。本文的主要成果是以信用管理为主线,在新资本协议有关风险管理的理念和要求的指导下,综合考虑针对临商银行信用风险管理的现状,提出了具有实际参考意义的观点和思路。本文分析了临商银行信用风险的特征和信用风险管理的现状,这将帮助临商银行全方位认识和把握信用风险管理的整体内外环境,在此基础上借鉴先进经验,设计了临商银行信用风险管理信息系统、信用风险量化体系和信用风险管理组织体系,这将为新时期临商银行的信用风险管理提供创新性的思路和选择模式。同时把Credit Metrics模型引入单笔贷款信用风险分析,对临商银行的模型选择具有借鉴意义。本文主要分成了七个部分。第一部分是本文的导言,介绍了本文的研究背景和意义,国内外的研究现状,以及本文的思路,研究方法和逻辑框架；第二部分是本文的研究基础支撑部分,该部分为本文的研究引入了商业银行信用风险的概念,明确了研究边界,并对商业银行信用风险的来源和基本特征进行了概括和描述；第三部分是临商银行信用风险及其管理的现状分析,并以罗庄支行的陶瓷类贷款为例阐述了信用风险的特征、产生原因和影响。第四部分从微观和宏观两个方面对临商银行信用风险产生的原因进行了分析；第五部分是基于Credit Metrics模型的单笔贷款信用风险分析,为临商银行的模型选择提供了启示。第六部分结合前面的研究分析,根据巴塞尔协议的思想和全面风险管理理念,为临商银行信用风险管理提出有意义的建议,从信息管理系统的建设、量化管理体系的完善和管理组织体系的构建三个层面设计了临商银行信用风险管理的综合框架体系。第七部分是本文的结尾部分是对本文的总结与未来的展望。
[Abstract]:Finance is the core of modern economy, and banking plays an important role in a country's financial system. Asset business is the main business of commercial banks. Therefore, the credit risk management of banks is the core issue of the sustainable development of banks, but also an important embodiment of the competitiveness of banks, from the beginning of the Basel Accord. The credit risk management of the bank has received extensive attention. The main purpose of this paper is to analyze the advanced credit risk management tools and concepts of the international banking industry through the research on the development trend of bank credit risk management reflected in the Basel New Capital Accord. Combined with the reality of Linshang Bank, this paper studies the credit risk management methods of commercial banks in the new period, and on this basis, promotes the establishment of internal rating method and advanced credit risk management model under the new capital agreement in Linshang Bank. Finally, a modern management method and management system adapted to the credit risk management of Linshang Bank is established. The main achievement of this paper is to take credit management as the main line, under the guidance of the new capital agreement related risk management idea and request, the comprehensive consideration is aimed at the current situation of the credit risk management of the Linshang bank. This paper analyzes the characteristics of credit risk and the current situation of credit risk management in commercial banks. This will help Linshang Bank to understand and grasp the overall internal and external environment of credit risk management. On the basis of this, the paper designs the credit risk management information system of Linshang Bank based on advanced experience. Credit risk quantification system and credit risk management organization system. This will provide the innovative thinking and choice mode for the credit risk management of Linshang Bank in the new period. At the same time, the Credit Metrics model will be introduced into the credit risk analysis of single loan. It can be used for reference to select the model of Linshang Bank. This paper is divided into seven parts. The first part is the introduction of this paper, which introduces the research background and significance, domestic and foreign research status, as well as the train of thought, research methods and logical framework of this paper; The second part is the basic support part of this paper. This part introduces the concept of credit risk of commercial banks and clarifies the research boundary for the research of this paper. The source and basic characteristics of commercial bank credit risk are summarized and described. The third part is the Linshang Bank credit risk and its management of the status quo analysis, and Luozhuang Branch of ceramic loans as an example to illustrate the characteristics of credit risk. Part 4th analyzes the causes of credit risk of commercial banks from micro and macro aspects; The 5th part is the credit risk analysis of single loan based on the Credit Metrics model, which provides the inspiration for the model selection of the commercial bank. 6th part combined with the previous research and analysis. According to the idea of Basel Accord and the concept of overall risk management, this paper puts forward some meaningful suggestions for the credit risk management of commercial banks from the construction of information management system. The improvement of quantitative management system and the construction of management organization system have designed the comprehensive framework system of credit risk management of Linshang Bank. Part 7th is the conclusion of this paper and the prospect of the future.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

【参考文献】