基于DEA模型的我国商业银行信用风险度量方法与实证研究

发布时间：2018-03-20 03:27

本文选题：商业银行　切入点：信用风险　出处：《北京交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：2007年美国次贷危机引发的全球金融危机给世界经济造成了巨大的损失与打击。对于此次金融危机发生的原因有很多,但究其根源,是商业银行信用风险管理的失控。信用风险是现代商业银行面临的最重要的风险,也是导致银行破产的最常见的原因之一,而信用风险度量是其中最重要的一环。我国商业银行在信用风险度量方面,与国外大型商业银行相比,仍然存在着相当多的不足。如何提升我国商业银行的信用风险管理及度量水平,已经成为我国理论界和银行业共同关注致力解决的问题。为了寻找出适合我国银行信用风险度量的方法,本文首先对信用风险和现有信用风险度量度量方法进行了综合论述,并且讨论了各种传统和现代度量方法的优缺点。然后分析了我国目前商业银行信用风险度量所存在的问题,以及DEA模型在我国应用的可行性。实证分析部分以我国20家上市公司(10家ST类公司和10家非ST类公司)为样本,结合我国上市公司的特点和财务数据的实际情况,选取了适当的财务指标作为DEA方法的输入和输出变量,得出了各个企业的信用分数,并使用ST和非ST分类法来检验实证结果,验证了超效率DEA信用评分方法的合理性和在我国的适用性。本文的主要结论有：一是总结我国目前信用风险度量所存在的问题,主要表现在：数据获取困难,同时可信度不高,信用评级体系不够完善,缺乏适合我国国情的度量模型,社会信用体系不健全,金融体系透明度不高和缺乏专业金融风险管理人才。二是通过对传统和现代的各种主要信用风险度量模型进行比较分析,结合我国商业银行信用风险管理现状和社会条件的制约,提出了应用超效率DEA模型作为商业银行信用风险度量模型的适用性和可行性。最后是通过实证研究证明超效率DEA评分模型可以有效评价我国上市公司的信用状况。
[Abstract]:In 2007, the global financial crisis caused by the subprime mortgage crisis in the United States caused tremendous losses and blows to the world economy. There are many reasons for the financial crisis, but the root causes are investigated. Credit risk is the most important risk faced by modern commercial banks and one of the most common reasons leading to bank bankruptcy. The measurement of credit risk is the most important one. Compared with foreign large commercial banks, China's commercial banks in terms of credit risk measurement, How to improve the level of credit risk management and measurement of commercial banks in China has become a common concern of the theoretical circle and the banking industry. In order to find a suitable method for measuring the credit risk of Chinese banks, this paper firstly discusses the credit risk and the existing methods of credit risk measurement. It also discusses the advantages and disadvantages of various traditional and modern measurement methods, and then analyzes the problems existing in the credit risk measurement of commercial banks in China. And the feasibility of the application of DEA model in China. The empirical analysis is based on the sample of 10 St companies and 10 non-St companies of 20 listed companies in China, combined with the characteristics of listed companies in China and the actual situation of financial data. The proper financial index is selected as the input and output variables of DEA method, and the credit scores of each enterprise are obtained, and the empirical results are tested by using St and non-St classification. It verifies the rationality and applicability of super efficiency DEA credit scoring method in our country. The main conclusions of this paper are as follows: first, it summarizes the problems existing in the measurement of credit risk in our country, mainly in the following aspects: difficulty in obtaining data, low credibility, imperfect credit rating system, and lack of measurement model suitable for our country's national conditions. The social credit system is not perfect, the financial system is not transparent and lack of professional financial risk management personnel. Combined with the current situation of credit risk management of commercial banks in China and the restriction of social conditions, This paper puts forward the applicability and feasibility of using super-efficiency DEA model as the credit risk measurement model of commercial banks. Finally, it proves that the super-efficiency DEA scoring model can effectively evaluate the credit status of listed companies in China.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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