基于KMV模型的中国商业银行信用风险管理研究

发布时间：2018-01-22 14:56

本文关键词： 信用风险巴塞尔协议 KMV模型　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：信用风险一直是我国商业银行面临的主要风险,而就国内的现状来看,我国银行业信用评级体系与高级内部评级法的要求相差甚远。因而,我国银行业若想提高自身实力及国际竞争力,就必须要立足我国国情,开发并应用高级的内部模型,进而建立适合于我国经济环境的信用风险管理系统。在此背景下,本文以巴塞尔协议为导向,研究内部评级法下我国商业银行如何完善信用风险的管理。首先,本文在绪论部分较为全面的介绍了信用风险管理的国内外研究现状以及我国商业银行信用风险及管理的现状。接着第二部分则介绍了信用风险的定义及特征、信用风险管理的内涵及巴塞尔协议的内容。然后第三部分概括的介绍了内部评级法的相关内容和四种现代信用风险度量模型,包括Credit Metrics、KMV、Credit Risk+和CPV模型。第四部分则在现状分析的基础上,结合四种度量模型各自的特点,对四种度量模型在我国商业银行信用风险管理中的适用性进行了分析,得出KMV模型在我国银行信用风险管理中具有比较优势,进而选择对KMV模型的适用性进行实证研究,并分析了实证的结果。第五部分是对我国商业银行信用风险管理提出一些建议。文章首先介绍了信用风险及管理的相关理论、巴塞尔协议的内容及四种现代的信用风险度量的模型。其次,结合我国银行业信用风险及管理的现状,分析四种度量方法在我国的适用性。再者,实证方面,本文选取了截至2013年12月31日,沪深两市10个行业、共20家企业的财务数据和市场数据,运用KMV模型计算企业违约距离并比较其违约可能性。其中20家企业包括10家ST企业和10家非ST企业,ST企业代表近几年连续亏损、财务状况较差、违约概率较大的不良企业,非ST企业则是经营正常、违约概率较小的企业。通过对两类企业的实证结果进行比较分析,证明KMV模型能够较为准确的度量我国上市公司的信用风险。
[Abstract]:Credit risk has always been the main risk faced by commercial banks in China, and in terms of the domestic situation, the requirements of the credit rating system of China's banking industry are far from those of the advanced internal rating method. If China's banking industry wants to improve its own strength and international competitiveness, it must base itself on the situation of our country and develop and apply advanced internal models. Then establish a credit risk management system suitable for our country's economic environment. Under this background, this paper studies how to perfect the credit risk management of our commercial banks under the internal rating method. First of all, this paper takes the Basel Accord as the direction to study how to perfect the credit risk management. In the introduction part, this paper introduces the domestic and international research status of credit risk management and the current situation of credit risk and management of commercial banks in China. Then, the second part introduces the definition and characteristics of credit risk. The connotation of credit risk management and the content of Basel Accord. Then the third part summarizes the internal rating method and four modern credit risk measurement models. Including Credit Metrics KMV Risk and CPV model. 4th part based on the analysis of the current situation, combined with the characteristics of the four measurement models. This paper analyzes the applicability of four kinds of measurement models in credit risk management of commercial banks in China, and concludes that KMV model has comparative advantages in credit risk management of banks in China. Then choose the applicability of the KMV model for empirical research. And analyzed the empirical results. Part 5th is to put forward some suggestions on credit risk management of commercial banks in China. Firstly, the paper introduces the theory of credit risk and management. The content of Basel Accord and four modern credit risk measurement models. Secondly, combined with the current situation of banking credit risk and management in China, the applicability of the four measurement methods in China is analyzed. This paper selects the financial data and market data of 20 enterprises in 10 industries of Shanghai and Shenzhen Stock Exchange as of December 31st 2013. The KMV model is used to calculate the default distance and compare the possibility of default. Among them, 20 enterprises include 10 St enterprises and 10 non-St enterprises. Bad enterprises with poor financial situation and high probability of default, while non-St enterprises are those with normal operation and low probability of default. The empirical results of the two types of enterprises are compared and analyzed. It is proved that KMV model can accurately measure the credit risk of listed companies in China.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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