基于KMV模型的商业银行信用风险管理博弈研究

发布时间：2018-05-18 14:47

本文选题：商业银行 + 信用风险　；参考：《南京工业大学》2012年硕士论文

【摘要】：商业银行是金融交易的主要中介，关系着整个国民经济能否顺畅运行。目前，中国的商业银行尚处于转轨和新兴发展阶段，积聚了大量的信用风险。虽然近年来中国商业银行采取了多种措施使得不良贷款率有所降低，但是2009年以来，贷款规模迅速扩张，损失准备不足，信用风险仍是商业银行目前面临的主要风险之一，因此提高商业银行信用风险管理水平已经成为银行业面临的重要课题。本文在总结前人研究的基础上，首先根据2005-2010年银行业相关数据，采用纵向比较的方法简析了目前我国商业银行信用风险现状，其次分别利用信号博弈和重复博弈的方法建立商业银行信用风险管理博弈方程，定性地分析了企业签约前的逆向选择行为和签约后的道德风险行为给银行带来的信用风险，然后以苏州市25家上市公司的股票数据和财务数据为基础，通过KMV模型定量地预测博弈方程其中的一个关键要素：企业的预期违约概率，最后有针对性地提出完善商业银行信用风险管理的对策。论文研究发现，，由于贷款规模迅速扩张、贷款分布行业过度集中以及资本充足率存在下滑趋势，导致商业银行信用风险高居不下，运用论文建立的博弈模型分析得出影响其信用风险管理水平的具体因素：企业经营报告的掩饰成本、企业的违约概率和博弈双方（银行和企业）对下次交易的可能性的预期因子。基于上述研究结论，本文从完善银行内部信用风险管理体系，增强企业内部信用建立和维持机制和提高外部监管机构的监管效率三个方面提出了一系列提高商业银行信用风险管理水平的对策。
[Abstract]:Commercial bank is the main intermediary of financial transaction, which is related to the smooth operation of the whole national economy. At present, China's commercial banks are still in the transition and emerging stage of development, accumulated a large number of credit risks. Although China's commercial banks have taken various measures in recent years to reduce the ratio of non-performing loans, since 2009, the scale of loans has expanded rapidly, and losses have not been prepared enough. Credit risk is still one of the main risks faced by commercial banks at present. Therefore, improving the level of credit risk management of commercial banks has become an important issue facing the banking industry. On the basis of summarizing the previous studies, this paper firstly analyzes the present situation of credit risk of commercial banks in China by means of longitudinal comparison according to the relevant data of banking from 2005 to 2010. Secondly, the paper establishes the credit risk management game equation of commercial bank by the methods of signal game and repeated game, and qualitatively analyzes the adverse selection behavior before the contract and the credit risk brought by the moral hazard behavior after the contract. Then, based on the stock data and financial data of 25 listed companies in Suzhou, the paper quantitatively predicts one of the key elements of the game equation by KMV model: the expected default probability of the enterprise. Finally, the paper puts forward the countermeasures to perfect the credit risk management of commercial banks. The paper finds that due to the rapid expansion of loan scale, the excessive concentration of loan distribution industry and the downward trend of capital adequacy ratio, commercial banks have high credit risk. By using the game model established in the paper, the author concludes that the specific factors that affect the level of credit risk management are: the cost of covering up the business report, The probability of default of the firm and the expected factors of the parties (banks and firms) to the possibility of the next transaction. Based on the above conclusions, this paper improves the internal credit risk management system of banks. This paper puts forward a series of countermeasures to improve the level of credit risk management of commercial banks from three aspects: strengthening the internal credit establishment and maintenance mechanism and improving the supervision efficiency of external regulatory bodies.
【学位授予单位】：南京工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224.32

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