基于AHP-FCE的我国商业银行信用风险评估系统研究

发布时间：2018-06-03 03:50

本文选题：商业银行信用风险 + 指标体系　；参考：《哈尔滨商业大学》2014年硕士论文

【摘要】：随着金融行业的全面开放,商业银行面临着越来越激烈的竞争,信用风险作为商业银行面临的主要风险,它的防范与管理能力的强弱直接关系到商业银行的生死存亡,所以,是否能够对信用风险进行有效、准确的评估变得至关重要。我国对商业银行信用风险评估的研究起步较晚,实际中应用更多的是传统的主观分析方法,难以满足商业银行的发展需要。虽然近年来我国对于信用风险度量的研究逐渐增多,但是通过查阅大量的国内外相关文献发现,仍然存在很多问题。例如：信用风险评价指标体系的建立过于片面；研究内容主要集中在度量方法上且操作实施性差等。对此,本文主要从评价指标与评价方法两个方面对商业银行信用风险评估问题进行研究,以信息技术为基础并结合管理学中的理论方法,为商业银行提供一个基于B/S结构的真实、可靠的信用风险评估系统,从而更好地为银行信贷管理人员提供决策依据。本文从商业银行的角度出发,以贷款企业的信用风险为研究对象。首先,通过查阅大量的相关资料并咨询有关专家,在综合研究国内外信用风险评价指标体系的基础上,从财务指标和非财务指标两个方面系统分析了影响贷款企业信用水平的主要因素,建立了一个较为全面的、适合我国商业银行的信用风险评价指标体系。然后,通过比较分析信用风险评估中常用的评价方法,最终确立了以层次分析法与模糊综合评价法相结合的评估模式,建立了一个商业银行信用风险评估模型,并采用黑龙江地区某企业2012年度的财务相关数据对该模型进行实例验证,结果表明该模型能够比较全面、真实地反映出贷款企业所处的信用风险等级,可以用于实际风险评估中。最后,在已建立的商业银行信用风险评估模型的基础上,从软件工程的角度出发,对系统的功能模块以及工作流程进行了分析,开发实现了一个基于B/S结构的商业银行信用风险评估原型系统,并对该系统进行了测试。测试结果表明,与以往的研究相比该系统操作简单,准确度高,适用性较强,能够较为快速的对信用风险进行评估预测。
[Abstract]:With the overall opening of the financial industry, commercial banks are facing more and more fierce competition. As the main risk faced by commercial banks, the strength of its prevention and management ability is directly related to the survival and death of commercial banks, so, It is important to evaluate credit risk effectively and accurately. The research on credit risk assessment of commercial banks in our country started relatively late. In practice, the traditional subjective analysis method is more widely used, and it is difficult to meet the development needs of commercial banks. In recent years, the research on credit risk measurement in China has gradually increased, but by consulting a large number of domestic and foreign literature, there are still many problems. For example, the establishment of credit risk evaluation index system is too one-sided. In this paper, the credit risk assessment of commercial banks is studied from two aspects of evaluation index and evaluation method, which is based on information technology and combined with the theory and method of management. It provides a real and reliable credit risk assessment system based on B / S structure for commercial banks, thus providing a better basis for bank credit managers to make decisions. From the point of view of commercial banks, this paper studies the credit risk of loan enterprises. First of all, by consulting a large number of relevant information and consulting relevant experts, on the basis of a comprehensive study of the domestic and foreign credit risk evaluation index system, This paper systematically analyzes the main factors influencing the credit level of loan enterprises from two aspects of financial index and non-financial index, and establishes a comprehensive credit risk evaluation index system suitable for commercial banks in China. Then, by comparing and analyzing the commonly used evaluation methods in credit risk assessment, the paper establishes an evaluation model combining AHP and fuzzy comprehensive evaluation, and establishes a credit risk assessment model of commercial banks. The model is verified by the financial data of a certain enterprise in Heilongjiang province in 2012. The results show that the model can reflect the credit risk grade of the loan enterprise. It can be used in actual risk assessment. Finally, based on the established credit risk assessment model of commercial banks, the functional modules and workflow of the system are analyzed from the point of view of software engineering. A prototype system of credit risk assessment for commercial banks based on B / S structure is developed and tested. The test results show that the system has the advantages of simple operation, high accuracy and strong applicability, and it can evaluate and predict the credit risk quickly.
【学位授予单位】：哈尔滨商业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F224

【参考文献】