VaR模型及其在商业银行信用风险管控中的应用

发布时间：2019-01-02 17:26

【摘要】：随着金融市场的繁荣发展、金融产品不断创新,各类金融机构尤其是商业银行所提供的产品的交易结构日益新颖和复杂,衍生品层出不穷,风险程度日益加大,尤其是在当前经济形势下滑,部分大客户违约事件和刚性兑付等多因素的风险信息不断涌现,金融业的主要参与者--商业银行所处的环境更为复杂,需应对诸多困难和挑战。故此,正确辨识与管控信用风险显得尤为重要。在此背景下,国内现行的传统风险管控工具在识别、计量、管控方面已不能完全满足形势的发展需要。如何改进现行风险管控的手段和方法,使对风险计量和控制变得更有质量、更客观、更有效,是现代商业银行风险管控亟待解决的普遍问题。国内外理论及实证表明,基于VaR模型的商业银行风险管控的使用将在很大程度上解决上述大部分问题,且模型的应用越来越广泛地得到推广;同时,巴塞尔委员会要求,有条件的银行有必要将商业银行内部模型与VaR值相结合,以计算适应市场风险要求的资本数额;且G20建议,可使用VaR模型去计量衍生工具的风险,并认为该工具是测度与管控市场风险的最佳工具。现阶段VaR方法已被国外大多数金融机构使用和推广,并作为衡量和管理风险的主要方法之一。国内有条件的商业银行也在尝试使用VaR模型,或被风控部门用于风险测量、或被监管机构用于监管、或被管理层用于内部绩效评定等。本文主要从商业银行对信用风险的界定开始,总结了信用风险的特征以及相对较为重要的管控方法,尽可能详尽的介绍了国际上该领域具有代表性的模型:Credit Portfolio View模型、Credit Metrics模型以及Credit Risk+模型,分别诠释了其运算原理、假定条件,并进行了比较分析,剖析了国内信用风险管控的现状;此后,就VaR模型在该领域的发展、普及使用,本文做了详尽介绍,最后得出了结论:现阶段,使用Credit Risk+模型去测量国内银行业信用风险是较为符合国情。在实证分析方面,采用了交通银行股份有限公司河南省分行中部分行业数据,以Credit Risk+模型为基础进了验证,实证表明该模型的可行性和可操作性更强,与商业银行自己的预测结果相比,该模型的量化结果相对更可靠,但同时也指出了该模型的不足之处,基于模型是在一定的假定条件下成立的,如在假定条件发生改变的情况下所预测的结果并不一定和实际相符,或譬如宏观经济环境发生变化,则所预测的结果可能与实际差别较大。因此,本论文指出,我国商业银行在运用相关模型时,应根据客观情况,挑选合适模型,并修正模型参数等。最后,对本论文进行了总结,结合我国信用风险管控状况,提出了几点建议,如完善和促进信用评级体系的建设,建立和培育国内风险量化理念,加大人力资源的支持力度,建立健全金融市场的法律法规体系。
[Abstract]:With the prosperity and development of financial market and the innovation of financial products, the trading structure of the products provided by various financial institutions, especially commercial banks, is becoming more and more novel and complex, and derivatives are emerging in endlessly, and the degree of risk is increasing day by day. Especially in the current economic situation, some major customers default events and rigid payment and other multi-factor risk information continue to emerge, the main participants in the financial industry-commercial banks in a more complex environment, need to deal with a lot of difficulties and challenges. Therefore, the correct identification and control of credit risk is particularly important. In this context, the existing traditional risk management tools in the identification, measurement, control can not fully meet the needs of the development of the situation. How to improve the current means and methods of risk management and control, and make the risk measurement and control become more quality, more objective and more effective, is a common problem to be solved urgently in modern commercial banks. Domestic and foreign theories and empirical results show that the use of risk management and control of commercial banks based on VaR model will solve most of the above problems to a large extent and the application of the model is more and more widely spread. At the same time, the Basel Committee requires that it is necessary for conditional banks to combine the internal model of commercial banks with the VaR value in order to calculate the amount of capital to meet the requirements of market risk. And the G20 suggests that the VaR model can be used to measure the risk of derivatives, which is the best tool to measure and manage market risk. At present, VaR method has been used and popularized by most foreign financial institutions, and as one of the main methods to measure and manage risk. Domestic conditional commercial banks are also trying to use VaR model, or risk measurement by risk control department, supervision by regulators, or internal performance evaluation by management, etc. This paper begins with the definition of credit risk in commercial banks, summarizes the characteristics of credit risk and the relatively important methods of management and control, and introduces the representative model: Credit Portfolio View model in this field as much as possible. Credit Metrics model and Credit Risk model, respectively, explain its operation principle, hypothetical condition, and carry on the comparative analysis, analyzed the domestic credit risk control present situation; After that, the development and popularization of VaR model in this field is introduced in detail, and the conclusion is drawn: at present, it is more suitable to use Credit Risk model to measure the credit risk of domestic banking industry. In the aspect of empirical analysis, some industry data in Henan Branch of Bank of Communications Co., Ltd. are used, and the Credit Risk model is used to verify the feasibility and maneuverability of the model. Compared with the commercial bank's own prediction results, the quantitative results of the model are more reliable, but at the same time, it also points out the shortcomings of the model, based on the model is established under certain assumptions. If the predicted results are not necessarily consistent with reality when the assumptions change, or if the macroeconomic environment changes, the predicted results may differ greatly from the actual ones. Therefore, this paper points out that the commercial banks in our country should choose the appropriate model and modify the model parameters according to the objective situation when using the relevant models. Finally, this paper summarizes the situation of credit risk management and management in China, and puts forward several suggestions, such as perfecting and promoting the construction of credit rating system, establishing and cultivating the concept of domestic risk quantification, and increasing the support of human resources. Establish and improve the financial market laws and regulations system.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33

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