我国商业银行信用风险管理体系建设研究

发布时间：2018-01-06 07:02

本文关键词：我国商业银行信用风险管理体系建设研究　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：2007年的美国次贷危机,给中国乃至世界经济带来了巨大的损失,信用的缺失无疑是加剧这一影响的主要原因,而在我国国内房地产受挫,经济增长放缓,再加上利率自由化、人民币汇率弹性增加等制度性因素的变化,商业银行面临的风险日益严峻。商业银行面临的风险有市场风险、操作风险、信用风险、流动性风险、信誉风险等,而其中最重要的风险是信用风险,对商业银行信用风险进行研究就具备了理论意义和实际价值。在我国目前的金融体系下,由于资本市场起步较晚,商业银行的风险管理水平相对较低,与世界各国大型商业银行相比,我国商业银行信用风险管理在体系建设、涵盖范围、文化建设、管理方法和计量手段等各方面都还存在着明显差距。目前我国商业银行还缺乏适合自身特点的信用风险管理体系架构,若实施新巴塞尔协议内部评级法又需要大量的基础数据积累,我国很多商业银行都存在数据积累不足问题,因而对用信用风险无法进行有效的量化管理,因此对于我国商业银行现阶段信用风险管理的研究,依然十分必要。本文分析了商业银行信用风险的形成原因,剖析了商业银行信用风险管理中存在的问题,进而提出了加强商业银行信用风险管理的建议,从实际可操作的角度提出了建设适合我国商业银行自身特点的信用风险管理系统。系统建设目标包括风险管理条线相关部门将其作为一个重要工作平台,对于风险进行持续跟踪和管理；系统提供各种统计分析工具和计量的方法,对于信贷资产风险重点分析、持续监控和分类预警；同时对于和信用风险相关的数据进行清洗整合,进行信用风险数据积累,为商业银行实施内部评级法,打好坚实的数据准备,最终实现对信用风险的监控、分析、预警、计量和控制,完成信用风险的量化计算。
[Abstract]:The U.S. subprime mortgage crisis in 2007, has brought huge losses to the China and the world economy, the lack of credit is the main reason for increased this effect, frustrated in China's domestic real estate, the slowdown in economic growth, coupled with the liberalization of interest rates, the RMB exchange rate flexibility increases the change of institutional factors such as the risk of business banks are facing increasingly serious. The risk that the commercial bank faces market risk, operational risk, credit risk, liquidity risk, credit risk, and one of the most important risk is the credit risk of commercial banks, credit risk research has theoretical significance and practical value.
In China's current financial system, because the capital market started late, the level of risk management of commercial banks is relatively low compared with other countries in the world of large commercial banks, credit risk management of China's commercial banks in the scope of system construction, cultural construction, all aspects of management methods and means of measurement, there are still significant gaps. There is a lack of credit risk management system suitable for the characteristics of China's commercial banks, if the implementation of the IRB in the new Basel agreement also needs a large number of basic data accumulation, many commercial banks in China are lack of accumulation of data in question, thus cannot be quantified with credit risk management, so the research at the present stage the credit risk management of commercial banks in China, is still very necessary.
This paper analyzes the causes of credit risk of commercial banks, analyzes the existing credit risk management in commercial banks, then put forward to strengthen the credit risk management of commercial banks, credit risk management system for commercial banks in China's own characteristics put forward from the practical point of view. The construction of the target system including risk management the relevant departments will be the line as an important platform for continuous tracking and management system for risk; provide various statistical analysis methods and tools for risk measurement, analysis of key credit assets, continuous monitoring and early warning for classification; and credit risk related data cleaning and integration, the credit risk is the accumulation of data the Commercial Bank IRB, lay a solid data preparation, finally realize the monitoring of credit risk analysis, warning, measurement And control, complete the quantitative calculation of credit risk.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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