基于ARIMA的商业银行信贷风险预警研究

发布时间：2018-12-18 06:28

【摘要】：美国的金融危机已然使各国政府更加重视对商业银行的风险管理。对于我国商业银行来说，贷款业务占业务总量的70%，一旦出现信贷危机将会影响整个金融体系的安全。所以，商业银行对其信贷风险进行管理是首当其冲的重要任务。只有创造安全、稳健的经营环境才能获得更丰厚的利润。根据风险管理的“三倍定律”，如果在贷款事前预测到风险，其减少的损失将3倍于贷后通过各种方法弥补的损失；贷款出现问题后不可挽回的损失将3倍于可挽回的损失[1]。可见，最有效的治理信贷风险的手段就是做好风险事前监测，通过建立信贷风险预警系统，及时的预测信贷风险发生的可能性，将损失遏制于萌芽中或者将损失降之到最低。本文的研究目的是建立适合我国商业银行的信贷风险预警方法，本文的研究视角是商业银行风险管理部门以企业还贷风险为监测对象，本文的研究思路是：在分析我国商业银行现阶段信贷风险预警的现状和存在问题及其成因分析的基础上，通过预警指标体系构建原则和影响商业银行信贷风险因素的分析构建了商业银行信贷风险预警指标体系，，再结合预警指标体系和预警方法对商业银行信贷风险作预警，最后针对我国商业银行信贷风险预警存在问题的原因相应提出几点完善建议。本文商业银行信贷风险预警的主要思路为：1、首先通过指标筛选建立一套预警指标体系。2、通过主层次分析方法确定各指标权重。3、应用功效系数法将指标数值指数化，再乘以相应权重对风险进行综合评估。4、应用时间序列模型——自回归移动平均（ARIMA）对商业银行的信贷风险进行预测，将预测的风险值与警报值对应来进行信贷风险预警。
[Abstract]:The financial crisis in the United States has made governments pay more attention to the risk management of commercial banks. For China's commercial banks, the loan business accounts for 70% of the total business, once the credit crisis will affect the security of the entire financial system. Therefore, commercial banks to its credit risk management is the first important task. Only by creating a safe and sound business environment can we gain more profits. According to the "triple law" of risk management, if the risk is predicted in advance, the loss will be reduced by three times than the loss made up by various methods after the loan. Irreparable losses after a loan problem will be three times the recoverable loss [1]. Therefore, the most effective means to control credit risk is to do a good job of risk monitoring in advance, through the establishment of a credit risk warning system, timely prediction of the possibility of credit risk, the loss will be contained in the bud or will be reduced to the lowest. The purpose of this paper is to establish a credit risk early warning method suitable for commercial banks in China. The research angle of this paper is that the risk management departments of commercial banks take the risk of repayment of loans as the monitoring object. The research ideas of this paper are as follows: on the basis of analyzing the present situation, existing problems and causes of credit risk early warning of commercial banks in China, Based on the construction principles of early warning index system and the analysis of the factors affecting the credit risk of commercial banks, this paper constructs an early warning index system of credit risk of commercial banks, and then makes an early warning of credit risk of commercial banks by combining the early warning index system and the early warning method. Finally, some suggestions are put forward to solve the problems in credit risk warning of commercial banks in China. The main ideas of this paper are as follows: 1. Firstly, a set of early warning index system is established through index screening. 2. The weight of each index is determined by principal level analysis method, and the index value is indexed by efficiency coefficient method. Then multiply the corresponding weights to evaluate the risk. 4. Using the time series model-autoregressive moving average (ARIMA) to predict the credit risk of commercial banks, the predicted risk value and the warning value are corresponding to the credit risk warning.
【学位授予单位】：哈尔滨工程大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.4;F224

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