我国商业银行信用风险压力测试方法研究

发布时间：2018-06-10 15:15

本文选题：信用风险管理 + CPV模型　；参考：《新疆财经大学》2014年硕士论文

【摘要】：商业银行是一国社会经济的血脉，它起着将社会生产所需要的资金分配到各个行业、生产部门的重要作用，对一国的经济发展影响十分巨大。信用风险随商业银行的产生而产生，并且时刻存在于商业银行日常经营管理当中，是影响商业银行稳健经营、健康成长的重要风险之一，因此商业银行信用风险管理一直是各国商业银行日常经营管理中的重大课题。是否能有效管理信用风险影响着商业银行的稳健经营，，关系着国民经济的健康发展。 2008年爆发于美国的次贷危机在全球化的巨浪之下迅速席卷全球，给世界经济、金融市场的发展造成沉重打击。人们开始重新认识在全球化背景下金融系统稳定的重要性，并纷纷开始加强本国商业银行的信用风险管理。传统的信用风险管理方法与手段已经不能很好的满足新形势下信用风险计量与管理的要求，在此背景下，压力测试方法开始受到重视，并且逐渐成为各国对本国商业银行及金融机构开展信用风险管理最有利的武器。本文将从商业银行信用风险管理的演变出发，全面地介绍各种信用风险管理手段、模型的功能和特点。最终结合我国商业银行经营实际情况与业务特征选择CPV模型作为本文信用风险计量模型，在确定模型后，本文初步选取GDP增长率、财政支出额、全国房地产开发业综合景气指数、M2增长率、社会消费品零售总额、消费者价格指数、一年期贷款利率、净出口、一年期存款利率等作为模型中的解释变量，之后通过平稳性分析、多重共线性检验和修正等方法确定GDP增长率、财政支出额、全国房地产开发业综合景气指数、M2增长率、一年期贷款利率和一年期存款利率作为文中的宏观经济变量。并在此模型基础上采用敏感性压力测试法和情感性压力测试法分别对我国商业银行信用风险进行测试。在压力测试后，本文将对两种压力测试方法进行比较，总结各自在运用上的特点，并以此为依据给出了我国在推广压力测试方法过程中需要建立健全相关制度规范、增强压力测试技术的可操作性、加强信用风险压力测试结果的有效应用、组建人才队伍，加强对人才的技术培养等政策建议。
[Abstract]:Commercial banks are the blood of a country's social economy. They play an important role in distributing the funds needed for social production to various industries and production sectors, and have a great impact on the economic development of a country. Credit risk comes into being with the emergence of commercial banks and always exists in the daily management of commercial banks. It is one of the important risks that affect the steady operation and healthy growth of commercial banks. Therefore, credit risk management of commercial banks has been a major issue in the daily operation and management of commercial banks in various countries. Whether the credit risk can be effectively managed affects the steady operation of commercial banks and relates to the healthy development of the national economy. The subprime mortgage crisis that broke out in the United States in 2008 quickly swept the world under the huge wave of globalization and gave the world economy. The development of financial markets has dealt a heavy blow. People began to re-recognize the importance of financial system stability in the context of globalization, and began to strengthen the credit risk management of domestic commercial banks. The traditional methods and means of credit risk management have not been able to meet the requirements of credit risk measurement and management in the new situation. And it has gradually become the most favorable weapon for all countries to carry out credit risk management for their commercial banks and financial institutions. This paper will introduce all kinds of credit risk management methods from the evolution of commercial banks' credit risk management. The function and characteristics of the model. Finally, the CPV model is selected as the credit risk measurement model according to the actual operating conditions and business characteristics of commercial banks in China. After determining the model, this paper preliminarily selects the GDP growth rate and the amount of fiscal expenditure. The national real estate development industry comprehensive boom index M _ 2 growth rate, total retail sales of consumer goods, consumer price index, one-year loan interest rate, net export, one-year deposit interest rate as the explanatory variables in the model, After that, the growth rate of GDP, the amount of fiscal expenditure, the comprehensive boom index of the national real estate development industry and the M2 growth rate are determined by means of stability analysis, multiple linear test and correction, etc. One-year loan rate and one-year deposit rate are macroeconomic variables in this paper. On the basis of this model, the credit risk of Chinese commercial banks is tested by the sensitive stress test method and the emotional stress test method. After the stress test, this paper will compare the two kinds of stress test methods, sum up the characteristics of their application, and based on this, we need to establish and perfect the relevant system norms in the process of popularizing the stress test method in our country. Some policy suggestions such as enhancing the maneuverability of stress testing technology, strengthening the effective application of credit risk stress test results, setting up a team of qualified personnel and strengthening the technical training of talents are suggested.
【学位授予单位】：新疆财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F830.42

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