商业银行价值评估中的违约率研究

发布时间：2018-02-28 10:01

本文关键词： 商业银行价值评估违约率 KMV模型　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：一直以来,银行业都是国民经济中重要的组成部分,随着2002年至2011年这十年中国经济的高速增长,银行业也处于黄金发展的时段。但在2012年之后中国经济增速下滑,随之银行业也受到影响,表现最为明显的就是银行资产质量的降低。追其原因,主要是宏观经济不景气,导致企业盈利困难,银行为了控制风险,贷款增速放缓,同时由于企业资金周转困难,进一步加剧还贷的难度,从而引起资产质量下降。另外,商业银行目前仍然面临着较大的信贷违约的压力,在去产能的过程中,一些停产、限产、破产项目或企业违约的可能性很大。违约率的攀升,会对银行的利润及盈利能力产生很大的影响,会造成商业银行的不稳定,进而对商业银行的整体价值造成一定的影响。商业银行作为一种特殊的企业,它的价值不仅会受到外部环境因素诸如宏观政策的影响,更会受到其自身独特个性和内部条件的影响。如今,在商业银行面对各种复杂多变的外部风险时,银行内部风险监控的好坏对于银行贷款质量的高低起着决定性的作用,降低银行的违约风险,这也直接影响着银行最终的利润。对于我国银行而言,占比最大的业务是存贷款业务,所以,在我国若想要提高商业银行的价值,首先必须要注重其存贷款业务,提高其资产质量,降低违约贷款的比例。因此,对影响商业银行价值的一个风险因素——违约率,将是本文所要研究的重点内容。本文采用理论与实证研究相互结合的方法,全文总共分为六个部分:第一章为引言,介绍了本文的研究背景及意义,对相关文献作了综述,并简单介绍本文的研究思路与内容;第二章在对我国商业银行价值评估中的风险进行分析的同时引出对违约率相关概念的界定以及阐述测算银行违约率的意义;第三章是基于测算违约率的现代模型——KMV模型所做的实证分析,在阐述KMV模型相关原理的同时对我国上市商业银行违约率进行测算;第四章是在上一章测算结果的基础上对样本银行分组进行违约风险的比较以及验证违约率与商业银行价值之间的关系;第五章根据前两章的实证分析得出结论及研究的局限性,同时对完善我国商业银行价值评估提出一些建议。
[Abstract]:Banking has always been an important part of the national economy. With the rapid growth of China's economy during the decade from 2002 to 2011, the banking industry is also in the golden period of development. But after 2012, the growth rate of the Chinese economy declined. The banking sector has also been affected. The most obvious performance is the decline in the quality of bank assets. The main reasons for this are the macroeconomic depression, which has led to difficulties in making profits for enterprises. In order to control the risks, the growth rate of loans has slowed down. At the same time, due to the difficulty of capital flow in enterprises, the difficulty of repayment of loans is further aggravated, thus causing a decline in the quality of assets. In addition, commercial banks are still facing greater pressure of credit default at present. In the process of deproducing capacity, some of them have stopped production and restricted production. Bankruptcy projects or enterprises are very likely to default. The rising default rate will have a great impact on the profits and profitability of banks, and will cause instability in commercial banks. As a special enterprise, the value of commercial bank is not only affected by external environmental factors such as macro policy. Nowadays, when commercial banks are faced with a variety of complex and changeable external risks, the quality of internal risk monitoring plays a decisive role in the quality of bank loans. Reducing the risk of bank default will also directly affect the bank's ultimate profits. For Chinese banks, the largest proportion of business is deposit and loan business, so in China, if you want to improve the value of commercial banks, First of all, we must pay attention to their deposit and loan business, improve the quality of their assets and reduce the proportion of defaulted loans. The thesis is divided into six parts: the first chapter is the introduction, which introduces the research background and significance of this paper, and summarizes the relevant literature. The second chapter analyzes the risk in the value assessment of commercial banks in our country and introduces the definition of the related concepts of default rate and the significance of calculating the default rate of banks. The third chapter is based on the modern model of calculating default rate-KMV model to do empirical analysis, in the elaboration of the relevant principles of the KMV model at the same time to calculate the default rate of listed commercial banks in China; Chapter 4th is based on the results of the previous chapter to compare the default risk of sample banks and verify the relationship between default rate and the value of commercial banks. Chapter 5th draws conclusions and limitations according to the empirical analysis of the first two chapters. At the same time, some suggestions are put forward to improve the value evaluation of commercial banks in China.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42

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