中小商业银行信用风险评价研究

发布时间：2018-06-12 04:47

  本文选题：信用风险 + 信用风险评价　； 参考：《大连理工大学》2014年博士论文

【摘要】：中小商业银行信用风险评价是对中小商业银行当前偿付其金融债务的总体金融能力的评价,在对中小商业银行信用风险状况进行全面分析的基础上,对其整体资产质量、资本充足、盈利状况、流动性风险等内部风险因素和所面临的外部风险进行综合测评。为银行树立稳健形象、拓展业务、降低交易成本、提高市场竞争力提供了一种重要策略和手段。 本论文共分六章。第一章分析论文选题背景、国内外研究进展、研究方法、研究的技术路线和研究内容。第二章论述中小商业银行信用风险特点与影响因素。第三章构建中小商业银行信用风险评价指标体系。第四章建立基于理想区间的TOPSIS组合评价模型。第五章选取14家中小商业银行进行实证分析并建立中小商业银行信用风险评价标准。第六章为结论与展望。论文的主要工作如下： (1)构建了包含银行内外部影响因素的中小商业银行信用风险评价指标体系。通过指标相关系数对同一准则层下任意两个指标间的相关性强弱进行比较,通过指标复相关系数对单个指标与全部指标的相似程度进行比较,并根据相关系数和复相关系数的阈值对指标进行筛选,剔除了信息重复的指标,确保了利用较少的指标能够全面反映海选指标集的原始信息,保证了筛选后指标体系信息的完整性。同时利用专家知识经验对客观方法筛选后的相关指标进行增补和删减,进而建立了包含16个内部因素评价指标和8个外部因素评价指标的中小银行信用风险评价指标体系,充分反映了银行自身信用风险状况水平,同时又体现了外部经营环境对其信用风险状况的影响,解决了现有研究评价指标体系不具有中小商业银行特点,且仅仅侧重于银行自身经营指标情况,却忽略经营环境的地域特性对其信用风险的影响致使评价结果不合理的问题。 (2)建立了基于理想区间TOPSIS组合评价模型。利用36原则构建指标正负理想区间,取代依据最大值和最小值确定评价指标正负理想,实现了对个体差异性较大的奇异值评价指标数据进行平滑,有效消除了指标异常值对评价结果的影响,通过将区间数引入TOPSIS评价模型,改进了TOPSIS评价方法,建立了基于区间TOPSIS组合评价模型,解决了因指标数据奇异值导致现有评价模型无法进行评价的问题,确保了评价结果的合理性,提高了评价结果的可信度。 (3)提出了基于Theil系数组合赋权方法。利用Theil系数构建了AHP法、变异系数法、均值方差、熵权法四种单一评价方法的组合优化模型,确定了四种单一评价方法的加权系数,利用加权系数得到评价指标的组合权重。组合权重综合了主观和客观赋权方法的优点,充分反映专家知识经验和指标数据真实信息,解决了单一主观赋权方法具有较强的主观性和随意性,以及客观赋权方法极度依赖样本数据而导致评价结果不可比的问题。 (4)在实证研究的基础上对中小商业银行评价结果进行等级划分。通过实证研究和Spearman秩相关系数验证了基于理想区间TOPSIS组合评价模型和基于Theil系数组合赋权方法的科学有效性。根据评价排序结果,利用评级机构主标尺不同级的区间长度和跳跃幅度,以基准级别为中心,分别以一定的增速(或减速)向上下两个方向展开,并依据评价结果的离散度对评级标准各级别的增减速进行了适度修正,建立了违约概率与信用风险综合评价结果贴近度之间的映射关系,对中小商业银行进行合理的等级划分。
[Abstract]:Credit risk evaluation of small and medium commercial banks is an evaluation of the overall financial ability of small and medium-sized commercial banks to pay their financial debts. On the basis of a comprehensive analysis of the credit risk status of small and medium commercial banks, the internal risk factors such as the overall assets quality, capital adequacy, profit status, liquidity risk and other internal risk factors and the external factors facing the small commercial banks are faced with. Comprehensive risk assessment provides an important strategy and means for banks to establish a healthy image, expand business, reduce transaction costs and enhance market competitiveness.
This paper is divided into six chapters. The first chapter analyzes the background of topic selection, research progress at home and abroad, research methods, research technical route and research content. The second chapter discusses the characteristics and influencing factors of credit risk of small and medium-sized commercial banks. The third chapter constructs the index system of credit risk assessment for small and medium-sized commercial banks. The fourth chapter establishes TOPS based on the ideal interval. IS combined evaluation model. The fifth chapter selects 14 small and medium commercial banks to carry out empirical analysis and establish credit risk assessment standards for small and medium-sized commercial banks. The sixth chapter is the conclusion and prospect. The main work of this paper is as follows:
(1) the credit risk evaluation index system of small and medium commercial banks including the internal and external factors of the bank is constructed. Through the index correlation coefficient, the correlation strength between any two indexes under the same standard is compared, and the similarity degree of the single index and the whole index is compared through the index complex correlation coefficient, and the relationship is based on the relationship. The threshold of number and complex correlation coefficient is screened, the index of information repetition is eliminated, and the original information of the selected index set can be fully reflected and the integrity of the information of the index system after screening is ensured. At the same time, the relevant indexes after the selection of the method are added and deleted by the expert knowledge and experience. In addition, the credit risk evaluation index system of small and medium banks, which includes 16 internal factors evaluation index and 8 external factors evaluation index, has been set up, which fully reflects the bank's own credit risk level and reflects the impact of external operating environment on its credit risk, and has solved the existing research evaluation index system. It has the characteristics of small and medium commercial banks, and only focuses on the bank's own operating indicators, but neglects the influence of the regional characteristics of the operating environment on its credit risk, resulting in the unreasonable evaluation results.
(2) the TOPSIS combination evaluation model based on the ideal interval is established. The 36 principle is used to construct the positive and negative ideal interval of the index, instead of determining the positive and negative ideals of the evaluation index according to the maximum value and the minimum value, and the data of the singular value evaluation index are smoothed and the effect of the index abnormal value on the evaluation results is eliminated. Through the introduction of the interval number to the TOPSIS evaluation model, the TOPSIS evaluation method is improved and the evaluation model based on the interval TOPSIS is established, which solves the problem that the existing evaluation model can not be evaluated because of the singular value of the index data, which ensures the rationality of the evaluation results and improves the reliability of the evaluation result.
(3) a combination weighting method based on the Theil coefficient is proposed. Using the Theil coefficient, the combination optimization model of the four single evaluation methods of AHP, variation coefficient, mean variance and entropy weight is constructed, and the weighting coefficients of the four single evaluation methods are determined, and the weighted coefficients are used to get the combination weight of the evaluation index. The combination weight combines the subjective and the guest. The advantages of the view empowerment method fully reflect the expert knowledge experience and the real information of the index data, and solve the problem that the single subjective empowerment method has strong subjectivity and randomness, and the objective weighting method relies on the sample data extremely, which leads to the problem that the evaluation results are not comparable.
(4) on the basis of empirical research, the evaluation results of small and medium-sized commercial banks are graded. Through the empirical study and the Spearman rank correlation coefficient, the scientific validity of the TOPSIS combination evaluation model based on ideal interval and the method of combination weighting based on the Theil coefficient combination are verified. The length and jump range of the interval are centered on the base level, and they are carried out in two directions at a certain rate of growth (or deceleration). According to the degree of dispersion of the evaluation results, a moderate correction is made to the increase and deceleration of each grade standard. The mapping relationship between the probability of default and the close degree of the comprehensive evaluation results of the credit risk is established. Small commercial banks have a reasonable hierarchy.
【学位授予单位】：大连理工大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.33;F224
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本文编号：2008435