基于KMV模型的我国商业银行信用风险管理研究

发布时间：2018-03-11 04:07

本文选题：中国商业银行　切入点：信用风险　出处：《华东师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：银行经营的核心是平衡风险与收益之间的关系,谋求在较低的风险基础上取得较高的收益,因此,风险管理是银行永恒的核心内容。国际上,信用风险的管理正在经历着一场变革,大量的信用风险度量模型涌现了出来,而我国商业银行在信用风险管理方面的发展却非常有限,虽然各主要银行建立了银行内部的企业信用评级制度,开发了自己的风险控制系统,但是它们较少地涉及企业财务比率之外的风险量化技术。由于缺乏系统科学的量化分析技术,就难以利于模型进行量化管理,难以按照巴塞尔新资本协议的要求评估风险暴露和提取贷款损失准备金。本研究致力于从量化角度对我国商业银行信用风险管理进行研究,首先讨论了信用风险的成因,巴塞尔新资本协议的要求,分析了我国商业银行信用风险管理的现状和存在的问题。接着对目前广泛应用的信用风险度量的KMV模型、Credit Metrics模型、Credit Risk+模型、CPV模型进行比较和分析,定性地得出KMV模型是目前适合我国商业银行信用风险管理的工具。该模型基于B-S-M期权定价理论,利用股权价值、股权价值的波动率和企业违约点估算出企业的资产价值和资产价值的波动率,求出违约距离,从而得到企业的预期违约率。在实证部分,本文选取了沪深交易所中2010年被宣告特别处理的17家ST上市公司和与之配对的17家非ST上市公司作为研究对象。根据2009年样本公司的财务数据和股票数据,运用KMV模型最终求出了各样本公司的违约距离。实证结果表明ST公司的违约距离远远小于非ST公司的违约距离,违约距离作为一个度量上市公司违约可能性的指标,其值越大,表明上市公司违约的可能性就越小,反之则表明上市公司违约的可能性越大。由此可见,KMV模型能够较好地度量出ST公司和非ST公司的信用风险,这在一定程度上反映了我国上市公司真实的信用风险状况。论文最后在前述分析的基础上,给出了提高我国商业银行信用风险量化管理水平的建议,并阐述了研究的不足之处。
[Abstract]:The core of bank management is to balance the relationship between risk and income, and seek to obtain higher income on the basis of lower risk. Therefore, risk management is the eternal core content of bank. Credit risk management is undergoing a revolution, a large number of credit risk measurement models have emerged, but the development of our commercial banks in credit risk management is very limited. Although major banks have established their own internal enterprise credit rating systems and developed their own risk control systems, However, they rarely involve risk quantification techniques other than the financial ratios of enterprises. Due to the lack of systematic and scientific quantitative analysis techniques, it is difficult to facilitate the quantitative management of the models. It is difficult to assess risk exposure and draw up loan loss reserves as required by the new Basel Capital Accord. This study is devoted to the study of credit risk management of commercial banks in China from a quantitative perspective. Firstly, it discusses the causes of credit risk and the requirements of the Basel New Capital Accord. This paper analyzes the present situation and existing problems of credit risk management of commercial banks in China, and then compares and analyzes the credit Metrics model and credit Risk model, which are widely used in credit risk measurement. It is concluded qualitatively that KMV model is a suitable tool for credit risk management of commercial banks in China at present. This model is based on B-S-M option pricing theory and utilizes equity value. The volatility of equity value and the default point of enterprise estimate the volatility of asset value and asset value, and calculate the distance of default, and then get the expected default rate of enterprise. In the empirical part, 17 ST-listed companies and 17 non-ST-listed companies in Shanghai and Shenzhen Stock Exchange on 2010 were selected as the research objects. Based on the financial data and stock data of the sample companies in 2009, The empirical results show that the default distance of St company is much smaller than that of non-St company. As an index to measure the possibility of default of listed company, the value of default distance is greater. It shows that the possibility of default of listed company is smaller, and the possibility of default of listed company is higher. It can be seen that KMV model can measure the credit risk of St company and non-St company. This reflects to a certain extent the real credit risk situation of listed companies in China. Finally, based on the above analysis, the paper gives some suggestions to improve the quantitative management level of credit risk of commercial banks in China, and expounds the deficiencies of the research.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224

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