基于修正的KMV模型的我国商业银行信用风险度量研究

发布时间：2018-03-02 02:08

本文关键词： 信用风险 KMV模型违约距离违约概率　出处：《西华大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着金融市场逐步放开、民营银行准入政策破冰都预示着我国全面性的金融改革步伐已在各项政策中悄然加速。在全球经济一体化的背景下我国商业银行势必面临更大的挑战。竞争与机会并存，如何防范和控制好商业银行的风险是当前我国银行业面临的重大难题。然而，信用风险是商业银行面临的主要风险，也是导致银行破产的主要原因。在信用风险管理方面我国与世界水平还有差距，如何缩小我国商业银行与世界银行业的差距，如何利用现有的工具管理好信用风险来提高我国商业银行在国际上的竞争力,是我国亟需探讨的课题。本文以信用风险基本理论为基础，概述了信用风险基本内容，分别介绍了国内外采用定性与定量分析方法的信用风险评估模型。通过对比国外主流的信用风险度量模型，探讨在我国的适用性，对比表明KMV模型具有较强适用性，并在此基础上,结合我国实际对KMV模型进行了修正。利用修正之后的模型对沪深两市24家上市公司的信用风险进行验证分析并对其进行了有效性验证。结果表明，修正之后的KMV模型能够在上市公司违约前预测出其信用质量的急剧下降，，能够清晰地观察出其信用质量的动态变化趋势,能够较好地预测出信用风险的变化。
[Abstract]:With the gradual liberalization of the financial markets, The entry policy of private banks indicates that China's comprehensive financial reform has been quietly accelerated in various policies. Under the background of global economic integration, Chinese commercial banks are bound to face greater challenges. How to prevent and control the risks of commercial banks is a major problem facing our banking industry. However, credit risk is the main risk faced by commercial banks. It is also the main cause of bank bankruptcy. There is still a gap between China and the world level in credit risk management. How to narrow the gap between our commercial banks and the world banking industry, How to use the existing tools to manage the credit risk to improve the competitiveness of our commercial banks in the international, is a subject that our country urgently needs to explore. Based on the basic theory of credit risk, this paper summarizes the basic contents of credit risk, introduces the credit risk assessment models using qualitative and quantitative analysis methods at home and abroad. This paper discusses the applicability of KMV model in our country. The comparison shows that the KMV model has strong applicability, and on this basis, This paper modifies the KMV model in combination with the actual situation in China. Using the modified model, the credit risk of 24 listed companies in Shanghai and Shenzhen stock markets is verified and its validity is verified. The modified KMV model can predict the sharp decline of credit quality of listed companies before default, can clearly observe the dynamic trend of credit quality, and can better predict the change of credit risk.
【学位授予单位】：西华大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.33

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