KMV模型在我国商业银行度量上市公司信用风险中的适用性研究

发布时间：2018-07-26 12:47

【摘要】：美国次贷危机引发的全球金融危机给世界各国的经济发展带来了很大的冲击,银行业开始关注信用风险的系统性影响,开始从外部的监管和银行内部的管理来提高商业银行的信用风险管理能力。商业银行作为融资中介,在国民经济发展过程中有着很重要的支撑作用；信用风险管理作为商业银行风险管理中很重要的一部分,其理论研究和实证研究都得到国内外学者的关注。我国银行业在巴塞尔协议监管要求下,结合我国的具体情况,制定了《商业银行风险监管核心指标》,其中,对信用风险的监管指标主要有不良资产率、单一集团客户授信集中度、全部关联度三类指标,我国商业银行的信用风险管理需满足相关指标的要求。我国商业银行的发展面临严峻的外部环境。首先,经济发展步入“新常态”,出现产能过剩企业和“僵尸企业”,这些企业的贷款成为银行的不良贷款。通过对商业银行的不良贷款余额、不良贷款率、拨备率,以及不良贷款的行业分布情况进行分析可知,我国商业银行不良贷款余额和不良贷款率均不断上升；从行业分布来看,不良贷款余额占比比较大和不良贷款率比较高的行业是制造业、批发和零售业、农林牧渔业、房地产业、建筑业和采矿业。其次,在互联网+时代,各种互联网金融平台的不断涌现,面对资源和渠道的分流,商业银行需要在风险可控的情况下进行战略转型。最后,人民币加入SDR之后,我国商业银行尤其是跨国经营的商业银行将面临更加复杂的国际金融环境。我国经济体制的特殊性,使我国商业银行的信用风险具有信用风险的一般性特征,也具有其特殊性。我国在信用风险定性分析方面的理论研究已经相对比较成熟,而在信用风险度量方面的研究相对薄弱。受国外信用风险度量理论的影响,我国也开始研究风险度量的方法。首先是学者对国外信用风险度量理论和模型的引进和学习,包括传统的信用风险度量模型和现代信用风险度量模型。其次是对国外信用风险度量模型在我国的适用性研究,主要运用实证研究的方法进行检验,既包括对原始模型的适用性分析,也包括对修正模型的有效性检验。考虑到我国市场经济的发展情况以及企业违约数据库的现状,目前,很多学者认为,KMV模型在我国的适用性最强,可以作为商业银行衡量企业信用风险的一种方法。本文就是在结合我国商业银行所处的经济环境以及当前商业银行不良贷款详细状况的基础上,先对我国商业银行自身的信用风险情况进行分析,然后基于KMV模型对我国商业银行衡量企业信用风险进行行业定量分析,通过得出行业的违约距离和违约概率横向比较行业信用风险的大小,意图通过将实证得到的定量结果与银行不良贷款的行业分布特征对比,验证定性和定量分析是否一致；同时,通过对2013年和2014年违约距离和违约概率的纵向对比,探究同一公司、同一行业信用风险的变化趋势,看其是否与经济走走势的预期一致。定性与定量结合,横向对比与纵向对比结合,运用这些方法进一步可以验证KMV模型的有效性。然后基于KMV模型对我国商业银行对上市公司进行信用风险度量提供实践建议。本文文章共六个部分：第一部分首先提出了文章研究的背景,既包括国内的宏观经济环境和银行自身所面临的内部及外部的压力,也包括复杂的国际金融环境。从银行自身稳健发展的角度,并结合银行自所处的经济地位,本文从各方面分析了本文研究的意义。之后对国内外关于信用风险度量的理论和实证研究进行了文献综述,梳理了学者的研究成果,以便更好地开展后文的研究。第二部分介绍了商业银行的面临的各种风险,并详细阐述了商业银行信用风险的概念、特征等。第三部分介绍了我国商业银行当前的不良贷款情况。根据我国商业银行的监管指标,对我国商业银行目前的不良贷款状况以及不良贷款的行业分布情况进行了描述性统计,并进行定性分析。同时,对于商业银行不良贷款之所以会进一步加大的原因进行了分析,既包括经济顺周期的效应,也包括其他机构的竞争压力和自身战略转型的风险。第四部分是在定性分析的基础上,提出对贷款对象的信用风险进行度量,并对信用风险度量模型进行简单的阐述和比较分析。内容包括对内部评级法的相关介绍以及对古典信用风险度量方法和现代信用风险度量模型的理论介绍,涵盖模型的理论基础、使用范围、优缺点等。然后根据我国当前的市场经济发展现状,认为KMV模型比较具有适用性。之后,对KMV模型进行详细的理论阐述,包括理论依据、理论假设、模型的实证研究方法等,为下文进行实证研究做铺垫。第五部分是实证分析。实证分析的目的是在定性分析的基础上,从分行业的角度对信用风险进行定量分析,运用KMV模型,用实证检验的方法,一方面验证KMV模型的适用性和有效性,另一方面,验证度量结果是否与之前的定性结果一致。数据选择分为两部分,均来自Wind数据库,一部分是选取沪深A股的ST公司和非ST公司共30家,另一部分,为了进行行业信用风险的比较,在2013年和2014年分别选取89个样本,并运用Excel、Matlab等数学工具对数据进行处理和对方程进行求解,得出资产价值和波动率,进一步求解各个公司的违约距离和理论违约概率,通过比较违约距离和违约概率的大小,比较它们的信用风险。最后,通过分析上市公司商业银行贷款数据,考察商业银行放贷利率与实证结果之间的关系。实证得出的结论是：同一行业的ST公司和非ST公司的信用风险状况存在差异；不同行业的信用风险状况存在差异；上市公司信用质量的变化和宏观经济走势是一致的；实证结果表示违约风险大小与现实中商业银行对上市企业的放贷利率高低具有一致性。结合定性和定量分析,KMV模型在商业银行信用风险度量中具有适用性。第六部分是在本文理论和实证研究的基础上对加强我国商业银行信用风险度量提出相关建议,分别从外部环境建设方面和商业银行的角度进行对应分析,包括加强社会信用体系建设,加强资本市场建设；商业银行需要提高风险识别能力,加强数据库建设；积极学习国外先进的信用风险度量模型,在此基础上探索适合商业银行的信用风险度量模型。
[Abstract]:The global financial crisis caused by the American subprime crisis has brought great impact on the economic development of all countries in the world. The banking industry began to pay attention to the systematic influence of credit risk, and began to improve the credit risk management ability of commercial banks from external supervision and internal management of banks. As a financing intermediary, commercial banks have developed in the national economy. The management of credit risk is a very important part of the risk management of commercial banks. The theoretical research and Empirical Study of the credit risk management have been paid attention to both domestic and foreign scholars. Under the requirements of Basel agreement supervision, China's banking industry has formulated the core of the risk supervision of commercial banks. Among them, the regulatory index of credit risk mainly includes the rate of bad assets, the concentration degree of the single group customer credit and the three kinds of index. The credit risk management of the commercial banks of our country needs to meet the requirements of the related indexes. Through the analysis of the non-performing loan balance, the bad loan rate, the reserve rate and the distribution of the non-performing loans, we can see that the ungood loan balance and the bad loan rate of the commercial banks in our country are rising continuously; In terms of industry distribution, industries with relatively large ratio of non-performing loans and higher rate of non-performing loans are manufacturing, wholesale and retail, agriculture, forestry, animal husbandry, real estate, construction and mining. Secondly, in the Internet + era, various Internet Financial platforms are constantly emerging, and the commercial banks need to be at risk in the face of the diversion of resources and channels. Under the controllable circumstances, the strategic transformation is carried out. Finally, after the RMB entry into the SDR, China's commercial banks, especially the transnational commercial banks, will face a more complex international financial environment. The particularity of our economic system makes the credit risk of the commercial banks of our country have the general characteristics of the credit risk, and also have their particularity. The theoretical research on the qualitative analysis of credit risk is relatively mature, and the research on the credit risk measurement is relatively weak. Influenced by the foreign credit risk measurement theory, China has also begun to study the method of risk measurement. First, the introduction and study of the foreign credit risk degree theory and model, including the tradition, are the traditional scholars. The credit risk measurement model and the modern credit risk measurement model. Secondly, the research on the applicability of foreign credit risk measurement model in China, mainly using empirical research methods, including the applicability of the original model and the validity of the revised model, considering the development of China's market economy. At present, many scholars believe that the KMV model has the strongest applicability in our country. It can be used as a way to measure the credit risk of the business bank. This article is based on the economic environment of commercial banks in China and the detailed condition of the current non-performing loans of commercial banks. The credit risk of China's commercial banks is analyzed, and then based on the KMV model, the quantitative analysis of the business credit risk of the commercial banks in China is carried out. By comparing the trade default distance and the probability of breach of contract, the trade credit risk is compared horizontally. Compare the distribution characteristics of the industry, verify the consistency of qualitative and quantitative analysis. At the same time, through the longitudinal comparison of the default distance and the probability of default in 2013 and 2014, explore the trend of the same company, the same industry credit risk change, see whether it is consistent with the economic trend, qualitative and quantitative combination, horizontal contrast and longitudinal In contrast, these methods can be used to further verify the effectiveness of the KMV model. Then based on the KMV model, it provides practical suggestions for the credit risk measurement of Chinese commercial banks to listed companies. This article has six parts: the first part first put forward the background of the study, including both the domestic macro-economic environment and the bank. The internal and external pressures faced by themselves include complex international financial environment. From the perspective of the stable development of the bank and the economic status of the bank, this paper analyzes the significance of this study from all aspects. The second part introduces the risks faced by commercial banks and expounds the concept and characteristics of commercial banks' credit risk in detail. The third part introduces the current situation of non-performing loans in China's commercial banks. The present situation of non-performing loans and the distribution of non-performing loans of the commercial banks of the country are descriptive statistics and qualitative analysis. At the same time, the reasons for the further increase of the non-performing loans of commercial banks are analyzed, including the effect of the economic CIS cycle and the competition pressure of other institutions and their own war. The fourth part is to measure the credit risk of the loan object on the basis of qualitative analysis, and to make a simple exposition and comparative analysis on the credit risk measurement model. The content includes the introduction of the internal rating method, the classical credit risk measurement method and the modern credit risk measurement model. It covers the theoretical basis, the scope of use, the advantages and disadvantages of the model, and then according to the current situation of the development of the market economy in China, the KMV model is more applicable. Then, the KMV model is expounded in detail, including the theoretical basis, the theoretical hypothesis, the empirical research method of the model type and so on. The fifth part is an empirical analysis. The purpose of the empirical analysis is to analyze the credit risk quantitatively on the basis of qualitative analysis, using the KMV model and the empirical test method, on the one hand, to verify the applicability and effectiveness of the KMV model, and on the other hand, to verify whether the measurement results are in agreement with the previous qualitative results. The data selection is divided into two parts, all of which are from the Wind database, and some are the 30 ST companies of Shanghai and Shenzhen stock A and the non ST companies. In the other part, in order to compare the industry credit risk, 89 samples are selected in 2013 and 2014 respectively, and the data are processed and the equations are solved by using the mathematical tools such as Excel and Matlab. Asset value and volatility, further solve the default distance and theoretical breach probability of each company, compare their credit risk by comparing the distance of default and the probability of default. Finally, through the analysis of the loan data of the commercial banks of the listed companies, the relationship between the interest rate of commercial banks and the empirical results is investigated. The conclusion is that there are differences in credit risk status between ST company and non ST company in the same industry; there are differences in credit risk in different industries; the change of credit quality of listed companies is consistent with macroeconomic trend; the empirical results indicate that the size of default risk and the lending rate of commercial banks to listed companies are high and low. With the consistency. Combining qualitative and quantitative analysis, the KMV model is applicable in the credit risk measurement of commercial banks. The sixth part is on the basis of the theoretical and Empirical Study of this paper to put forward some suggestions on strengthening the credit risk measurement of commercial banks in China, respectively, from the external environment construction and commercial banks' point of view. It includes strengthening the construction of the social credit system and strengthening the construction of the capital market; the commercial banks need to improve the risk identification ability and strengthen the database construction, actively study the advanced foreign credit risk measurement model, and explore the credit risk measurement model suitable for commercial banks on this basis.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33

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