蒙古国商业银行贷款风险度量与控制研究

发布时间：2018-07-10 08:34

本文选题：商业银行 + 贷款风险　；参考：《东北大学》2014年硕士论文

【摘要】：开始于2007年中期的金融危机逐渐由美国蔓延到世界范围,导致很多大型的跨国投资银行及其他金融机构亏损和倒闭,蒙古国也受到了影响。不仅仅在美国,在其他许多国家,以有价证券抵押固定资产的贷款模型也得到迅速发展,而由此产生的贷款风险成为导致整个国家金融危机的重要原因之一。蒙古国商业性银行运用贷款组合防范贷款风险已成了一重要趋势。商业银行处于高风险的经营环境中,使其有必要及时定期分析由外部环境和市场变动所带来的风险。对于商业银行所面临的诸多风险,贷款风险居于首要地位。因此经常测度贷款风险管理,并察觉其变动性质,了解发生风险的原因以及实施防范风险管理政策对于商业银行的经营十分重要。本文首先对商业银行风险管理国内外研究现状进行阐述,接着通过SOCELB模型、马克维茨模型以及ASRF模型等计量模型对银行面临的贷款风险进行分析。同时,分析了宏观经济因素对金融行业贷款风险的影响以及度量蒙古国商业发展银行借款方风险的可行性。最后得出结论。本文的结论是,宏观经济因素对商业银行的贷款风险所产生的影响比较大。资产质量下降取决于借款方自身特殊情形和市场行情,经济增长的情形下形成贷款风险的可能性较小；经济萧条时市场条件不稳定、物价水准和失业率高,借款方不偿还贷款的可能性增加。此外,如果在某一个行业集中贷款的情形下会增加风险。因此管理贷款风险,采取保证贷款业务所得收入最高水准、贷款风险最低水准的有效措施,商业银行有必要制定经营业务系统的完善政策。而制定出合理的贷款组合对其有效防范贷款风险起着重要作用,为保证其有效运作,商业银行不仅应在风险低行业发放贷款,也有必要在风险高、效益高行业发放贷款组合。
[Abstract]:The financial crisis, which began in mid-2007, gradually spread from the United States to the world, causing losses and failures of large multinational investment banks and other financial institutions, which also affected Mongolia. Not only in the United States, but also in many other countries, the loan model of fixed assets mortgaged by marketable securities has also developed rapidly, and the loan risk has become one of the important reasons leading to the national financial crisis. It has become an important trend for commercial banks of Mongolia to use loan portfolio to guard against loan risk. Commercial banks are in a high-risk business environment, which makes it necessary to analyze the risks caused by the external environment and market changes in a timely and regular manner. For the commercial banks facing many risks, loan risk is in the first place. Therefore, it is very important for commercial banks to measure loan risk management, detect its changing nature, understand the causes of risk and implement risk prevention policy. In this paper, the current research situation of commercial bank risk management at home and abroad is expounded, and then the loan risk is analyzed by SoCELB model, Markowitz model and ASRF model. At the same time, it analyzes the influence of macroeconomic factors on the loan risk of the financial industry and the feasibility of measuring the risk of the borrowers of the Mongolian Commercial Development Bank. Finally, a conclusion is drawn. The conclusion of this paper is that macroeconomic factors have great influence on the loan risk of commercial banks. The decline in the quality of assets depends on the borrower's own special circumstances and market conditions, and the likelihood of forming loan risks in the case of economic growth is low; market conditions are unstable and prices and unemployment are high in times of economic depression. Borrowers are more likely not to repay their loans. In addition, if a particular industry in the case of centralized loans will increase risk. Therefore, it is necessary for commercial banks to formulate a perfect policy to manage loan risk and take effective measures to ensure the highest income level and the lowest loan risk level. In order to ensure its effective operation, commercial banks should not only issue loans in low risk industries, but also need to issue loan portfolios in high risk and high efficiency industries.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.1

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