基于宏观压力测试的我国城市商业银行信贷风险研究

发布时间：2018-03-20 14:01

本文选题：城市商业银行　切入点：信用风险　出处：《河北科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：城市商业银行是中国银行业的重要组成部分,但又有其特殊性。其前身是上世纪80年代设立的城市信用社。近些年来,城市商业银行取得了长足的进步和发展,但随着宏观经济环境的不断变动、金融行业的改革不断深入,城市商业银行由于其自身特点和外部环境的多重影响仍然存在着许多关系其未来发展的问题,其中最重要和亟需解决的问题就是信用风险问题。2007年,美国爆发次贷危机,这次危机为我们敲醒了警钟。由于多方面原因的共同影响,最终导致这场金融风暴席卷全球。从信用风险管理方面来看,就是由于没有对宏观经济波动带给金融产品的风险进行充分有效的认识和合理的度量而导致。经历了危机之后,加强宏观审慎监管的原则成为各国银行监管部门一致达成共识,也就是说,各国银行务必要加强对系统性风险的监管,从而使金融系统的稳定得到更好的维护。由于世界各国商业银行平稳正常的经营受到宏观经济的波动的巨大影响,所以,各类商业银行尤其是城市商业银行在进行风险度量时都将宏观经济因素作为一个重要的参数考虑了进来。本文以城市商业银行信用风险的压力测试为主题,以先理论方法再实践的原则为路线,首先对研究宏观经济变动下我国城市商业银行信用风险的重要性进行了阐述;其次,对信用风险的相关概念及压力测试的相关理论方法进行了详细介绍,其中包括我国城市商业银行信用风险的成因及现状、信用风险度量模型的比较以及压力测试的概念、分类及流程,并且对宏观经济因素与城市商业银行信用风险的相关性进行了理论分析;然后,选择模型所需变量,对所需变量进行分析处理,建宏观压力测试模型;最后对我国城市商业银行的信用风险进行实证研究,即应用已得的压力测试模型,选取两变量作为情景变量,对其施加不同的压力,测试在不同压力情景下我国城市商业银行信用风险的变动趋势。结果显示,我国城市商业银行在受到宏观经济恶劣冲击时,不良贷款率增大,信用风险也随之显著增大。经分析,我国城市商业银行由于其自身的特点,存在较大的潜在信用风险,这种风险一旦出现将严重影响城市商业银行体系的稳定,针对于此,本文在文章最后一章提出了一些相应的对策建议以防患于未然。
[Abstract]:City commercial bank is an important part of Chinese banking, but it has its particularity. Its predecessor was the city credit cooperative set up in -20s. In recent years, city commercial bank has made great progress and development. However, with the constant change of the macroeconomic environment and the deepening of the reform of the financial industry, there are still many problems related to the future development of the urban commercial banks because of their own characteristics and the multiple influences of the external environment. The most important and urgent problem is the problem of credit risk. In 2007, the subprime mortgage crisis broke out in the United States, and the crisis woke us up. Finally, this financial storm swept the world. From the perspective of credit risk management, it is because of the lack of a fully effective understanding and reasonable measurement of the risks that macroeconomic fluctuations bring to financial products. After the crisis, The principle of strengthening macro-prudential supervision has become a consensus among bank regulators in various countries. That is to say, banks in various countries must strengthen their supervision of systemic risks. As a result, the stability of the financial system is better maintained. Since the smooth and normal operation of commercial banks in various countries is greatly affected by macroeconomic fluctuations, All kinds of commercial banks, especially the city commercial banks, take macroeconomic factors as an important parameter in their risk measurement. Based on the principle of first theory method and then practice, this paper first expounds the importance of studying the credit risk of urban commercial banks under the macroeconomic changes; secondly, This paper introduces the related concepts of credit risk and the related theories and methods of stress test in detail, including the causes and present situation of credit risk of city commercial banks in China, the comparison of credit risk measurement model and the concept of stress test. Classification and process, and the correlation between macroeconomic factors and credit risk of urban commercial banks is analyzed theoretically, and then, the required variables are selected, the required variables are analyzed and treated, and the macro-stress test model is built. Finally, an empirical study on the credit risk of urban commercial banks in China is carried out, that is, applying the obtained stress test model, selecting two variables as situational variables, exerting different pressures on them. The change trend of credit risk of urban commercial banks in China under different pressure scenarios is tested. The results show that the non-performing loan ratio of urban commercial banks increases when they are affected by the adverse macroeconomic impact. The credit risk also increases significantly. The analysis shows that the city commercial banks of our country have bigger potential credit risk because of their own characteristics. Once this kind of risk appears, it will seriously affect the stability of the city commercial bank system. In the last chapter of this paper, some corresponding countermeasures and suggestions are put forward to prevent trouble.
【学位授予单位】：河北科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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