浦发银行信用风险管理研究

发布时间：2019-05-28 13:07

【摘要】：信用风险是国内外商业银行面临的主要风险,近年来,从美国次货危机、冰岛和迪拜的债务危机到目前正不断发展的欧洲债务危机均是其表现方式,而准确地度量信用风险及通过度量改善银行的经营行为是一项长期的重要课题。本文将主要研究浦发银行的信用风险管理状况,对国际上主流的信用风险管理理论和计量方法进行介绍,并重点分析新巴塞尔协议在信用风险管理方面对于内部评级法和计量方面的要求。通过与浦发银行的现状进行对比,本文发现浦发银行尽管已根据国内监管标准和经营实际建立较为完善的信用风险管理体系,但其与新巴塞尔协议的最高要求之间仍存在较大差距,其核心问题是包括浦发银行在内的国内商业银行在信用风险计量方面采用的方法介于标准法(类似五级分类)和内部评级法的初级计量方法之间,而不是新巴塞尔协议要求的高级计量方法。这样就导致银行在经营活动中不能准确计量资本,在风险定价方面缺乏核心数据支持,在利率市场化的背景下将对商业银行形成冲击,同时容易在信贷活动中产生求大求集中的倾向。基于以上情况,本文对于国际上主流的各种信用风险高级计量模型进行了比较,由于CreditMetrics模型几乎可涵盖所有的信用产品,是可以比较不同行业的典型量化方法,故可以成为包括浦发银行在内的我国商业银行目前以定性分析为主的信用风险管理体系的有利补充。本文进一步对该模型在信用转移矩阵、违约概率选择、相关系数等方面进行了修改,并用修改后的模型对浦发银行两家分支机构进行了验证、比较和分析,证实了使用该模型可以有效提高银行信用风险的精细化水平,并对银行在信贷投放、风险定价、绩效考核、资本计量形成有效改进。
[Abstract]:Credit risk is the main risk faced by commercial banks at home and abroad. In recent years, from the inferior crisis in the United States, the debt crisis in Iceland and Dubai to the growing debt crisis in Europe, It is a long-term important task to measure credit risk accurately and improve the operating behavior of banks by measuring. This paper will mainly study the credit risk management of Pudong Development Bank, and introduce the mainstream credit risk management theory and measurement methods in the world. It also focuses on the requirements of internal rating method and measurement in credit risk management. Through the comparison with the present situation of Pudong Development Bank, this paper finds that Pudong Development Bank has established a more perfect credit risk management system according to the domestic regulatory standards and the actual operation. However, there is still a big gap between it and the highest requirements of the New Basle Agreement. The core problem is that the methods used by domestic commercial banks, including Pudong Development Bank, in the measurement of credit risk are between the standard method (similar to the five-level classification) and the primary measurement method of the internal rating method. Rather than the advanced measurement required by the New Basle Agreement. As a result, banks can not accurately measure capital in their business activities, lack of core data support in risk pricing, and will have an impact on commercial banks under the background of interest rate marketization. At the same time, it is easy to have a tendency to seek greater concentration in credit activities. Based on the above situation, this paper compares all kinds of advanced credit risk measurement models in the world. Because CreditMetrics model can cover almost all credit products, it is a typical quantitative method that can compare different industries. Therefore, it can be a favorable supplement to the credit risk management system of commercial banks in China, including Pudong Development Bank. In this paper, the model is further modified in the aspects of credit transfer matrix, default probability selection, correlation coefficient and so on, and the two branches of Pudong Development Bank are verified, compared and analyzed with the modified model. It is proved that the model can effectively improve the fine level of bank credit risk, and effectively improve the bank credit investment, risk pricing, performance evaluation and capital measurement.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

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