我国商业银行信用风险的度量和管理

发布时间：2018-07-22 12:54

【摘要】：商业银行在经营过程中，面临的风险包括信用风险、操作风险、市场风险、流动性风险、国家风险、声誉风险以及法律风险。其中信用风险尤其重要，信用风险占银行总体风险暴露的60%以上。目前我国的资本市场还不发达，企业的融资方式主要是依靠媒介的间接融资，信用风险成为我国商业银行面临的主要风险。与西方发达国家相比，我国的信用风险度量和管理还处于起步阶段，还没有建立起完备的信用风险管理体系。因此本文借鉴西方成熟的风险管理模型，对我国商业银行信用风险的度量和管理进行实证研究具有很强的现实意义。信用风险管理是一个系统的流程，包括识别、度量、监督和控制。其中，信用风险的度量是至关重要的，准确的度量是有效控制和管理的前提。因此本文侧重于对信用风险度量进行研究。文章首先介绍了国内外信用风险度量的一些方法和工具。传统的信用风险管理方法包括专家方法、评级方法和信用评分方法。然而，随着金融改革和金融开放的发展，传统方法已经不再适用现在的情况，新的、现代的信用风险管理工具应运而生。通过对Credit Metrics、KMV、Credit Portfolio View和Credit Risk+四种现代的信用风险度量模型的介绍和对比，结合我国实际情况，选定KMV模型进行实证研究。论文阐述了KMV模型的基本架构，，详细介绍了KMV模型的理论基础－期权定价模型。由于上市公司是商业银行重要的贷款对象，论文选取了沪市的5家业绩较好的公司和5支业绩较差的ST公司进行实证研究。使用B-S-M模型，借助Matlab软件，推算违约距离和预期违约概率，并对实证结果进行分析。最后在信贷风险实证研究的基础上，为我国商业银行提出一些信用风险度量和管理的建议。
[Abstract]:The risks faced by commercial banks include credit risk, operational risk, market risk, liquidity risk, national risk, reputation risk and legal risk. Credit risk is especially important, which accounts for more than 60% of the total exposure of banks. At present, the capital market of our country is not developed, the financing way of the enterprise mainly depends on the indirect financing of the medium, the credit risk becomes the main risk that the commercial bank of our country faces. Compared with the western developed countries, China's credit risk measurement and management is still in its infancy, and a complete credit risk management system has not been established. Therefore, it is of great practical significance to study the measurement and management of credit risk of commercial banks in China by using the mature risk management model of western countries for reference. Credit risk management is a systematic process that includes identification, measurement, monitoring and control. Among them, the measurement of credit risk is very important, and accurate measurement is the premise of effective control and management. Therefore, this paper focuses on the measurement of credit risk. This paper first introduces some methods and tools of credit risk measurement at home and abroad. Traditional credit risk management methods include expert method, rating method and credit scoring method. However, with the development of financial reform and financial openness, the traditional methods are no longer applicable to the present situation. New and modern credit risk management tools emerge as the times require. Based on the introduction and comparison of four modern credit risk measurement models, Credit Metrics KMVU Credit portfolio View and Credit risk, the KMV model is selected for empirical research in combination with the actual situation in China. In this paper, the basic structure of KMV model is expounded, and the theoretical basis of KMV model-option pricing model is introduced in detail. As listed companies are important loan targets of commercial banks, this paper selects 5 companies with good performance and 5 St companies with poor performance to carry out empirical research in Shanghai Stock Exchange. By using B-S-M model and Matlab software, the distance of default and the probability of expected default are calculated, and the empirical results are analyzed. Finally, based on the empirical study of credit risk, some suggestions on credit risk measurement and management are put forward for Chinese commercial banks.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224

【相似文献】