商业银行信贷风险度量与管理研究

发布时间：2018-03-01 01:18

  本文关键词： 信贷风险 风险度量 KMV模型 风险管理　出处：《湘潭大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来，随着我国资本市场逐步开放，国际化程度进一步提高，商业银行经营和发展的宏观经济环境变得越来越复杂，信贷风险已经成为商业银行正常运行的核心风险之一。信贷风险不仅会直接影响到商业银行的正常经营和发展，还会影响到我国宏观经济的健康持续发展和社会稳定。并且，现阶段国内商业银行主要使用传统信贷度量方法进行信贷风险度量，这种度量方法主要是使用企业的历史财务数据，不能准确反映被度量企业的现在和未来发展状况。在这种状况下，商业银行对企业信用状况评级会出现较大偏误，这导致商业银行信贷风险度量存在较大偏差。我国商业银行信贷风险管理现状和日益复杂国际经济环境都促使商业银行提高信贷风险度量的准确性和管理水平，完善银行信贷度量方法和管理体系成为我国商业银行的当务之急。 本文首先分析了现阶段研究商业银行信贷风险度量与管理的背景和意义，并综述国内外学者对商业银行信贷风险度量与管理的研究动态，简要梳理商业银行信贷风险度量与管理理论的历史演变。然后概述商业银行信贷风险的概念、巴塞尔新资本协议Ⅲ，论述商业银行信贷风险度量的传统评估方法和现代度量模型以及这些度量方法的主要优缺点为下文的开展研究奠定理论基础。在此基础上分析了我国商业银行信贷风险管理现状和存在的主要问题，并基于KMV模型对我国16家上市商业银行信贷风险度量进行实证分析，研究发现KMV模型能较好的估算出上市商业银行违约距离和违约概率，同时实证分析了商业银行信贷风险与资本充足率和银行自有资本的关系，发现商业银行可以通过控制资本充足率和自有资本来管理银行信贷风险，为商业银行信贷风险管理提供实证支撑。 最后，论述商业银行信贷风险的现代管理方法和机制，并结合实证分析的结论，借鉴国外商业银行的现代信贷风险管理方法并根据我国商业银行开展信贷业务活动的自身特殊性对其进行适用性修正，同时针对提高商业银行资本充足率，规范信贷操作流程；改进风险度量模型，完善信贷风险预警系统；强化信贷人才培养，优化内部信用评级系统提出相关的政策建议。这不仅对丰富商业银行信贷风险理论研究具有重要的理论意义，而且对提高商业银行信贷业务经营的效率性和安全性的重要现实意义。
[Abstract]:In recent years, with the gradual opening of China's capital market and the further improvement of the degree of internationalization, the macroeconomic environment for the operation and development of commercial banks has become more and more complex. Credit risk has become one of the core risks in the normal operation of commercial banks. Credit risk will not only directly affect the normal operation and development of commercial banks, but also affect the healthy and sustainable development of China's macro economy and social stability. At present, domestic commercial banks mainly use traditional credit measurement methods to measure credit risk, which mainly uses historical financial data of enterprises. Can't accurately reflect the present and future development of the measured enterprises. In this case, commercial banks will have a large bias in the credit status of the enterprises. The present situation of credit risk management of commercial banks in China and the increasingly complex international economic environment urge commercial banks to improve the accuracy and management level of credit risk measurement. Perfect bank credit measure method and management system become the urgent matter of our country commercial bank. This paper first analyzes the background and significance of the current research on credit risk measurement and management of commercial banks, and summarizes the research trends of domestic and foreign scholars on credit risk measurement and management of commercial banks. This paper briefly reviews the historical evolution of the theory of credit risk measurement and management of commercial banks, and then summarizes the concept of credit risk of commercial banks, the Basel New Capital Accord 鈪，

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