X商业银行贷款信用风险管理研究

发布时间：2018-03-24 04:20

本文选题：风险调整资产回报率　切入点：内部评级法　出处：《华中科技大学》2014年硕士论文

【摘要】：国内资本市场竞争加剧。同时,企业的扩张使得其对资金更为依赖。据于此,我国商业银行应更为高效地进行资本配置以满足企业对于资金的要求。同时,也需要银行对其管理模式,参与市场竞争的能力不断完善。而市场竞争中信贷市场最为复杂,其中信用风险的测量是关键之处。从世界性的金融危机中,我们不难发现金融体系的有效性在一定程度上取决于商业银行信用风险控制、管理能力。在参与竞争的过程中,我国商业银行已经意识到了风险管控的重要性及其现存的不足,并希望通过一段时间的努力来弥补该方面的缺陷。在该现状下,文章引入当前较为流行的适合我国商业银行发展的风险管理方法——风险调整资产回报率模型(RAROC),并结合内部评级法(IRB),将银行的贷款风险与基于该风险之上的回报相匹配,达到资本配置最大化的目的。本文围绕我国商业银行信用风险管理展开讨论。根据其发展现状,在现有的风险管理理论体系以及信用风险计量方法基础之上,借鉴国外先进方法,形成适合我国的信用风险管理体系,以弥补现实的管理问题。首先,利用内部评级法对RAROC模型中较为关键的指标违约概率进行计算。在内部评级法中,进行财务方面和非财务方面多角度的评价,达到了定性和定量相结合的目的。然后,对X银行的经济资本计算方式进行介绍,并结合X银行的实际做法加以分析和举例。最后,以某钢铁企业为例,运用RAROC模型与内部评级法相结合的方法,针对其具体运用进行分析。该方法的建立有助于我国银行业整体的信用风险管理体系的建立,有助于我国宏观经济环境的优化,为金融市场转型提供了方向。
[Abstract]:At the same time, the expansion of enterprises makes them more dependent on capital. According to this, Chinese commercial banks should allocate capital more efficiently in order to meet the requirements of enterprises for capital. The ability of banks to participate in market competition is constantly improved, and the credit market is the most complex in the market competition, in which the measurement of credit risk is the key. It is not difficult to find that the effectiveness of the financial system depends on the credit risk control and management ability of commercial banks to a certain extent. In the process of participating in the competition, the commercial banks in our country have realized the importance of risk management and control and its existing shortcomings. And hope to make up for this defect through a period of effort. In this paper, a risk management method suitable for the development of commercial banks in China, risk adjusted asset return model, is introduced, and the risk of loan is matched with the return based on the risk, combined with the internal rating method. This paper focuses on the credit risk management of commercial banks in China. According to its current situation, it is based on the existing risk management theory system and credit risk measurement methods. Drawing lessons from foreign advanced methods, a credit risk management system suitable for our country is formed in order to make up for the practical management problems. Firstly, the internal rating method is used to calculate the default probability of the key index in the RAROC model. In the internal rating method, the default probability of the key index in the RAROC model is calculated. Financial and non-financial aspects of the multi-angle evaluation, to achieve the qualitative and quantitative purposes. Then, the X Bank's economic capital calculation method is introduced, and combined with the actual practice of X Bank to analyze and give examples. Finally, Taking an iron and steel enterprise as an example, this paper analyzes the concrete application of RAROC model and internal rating method, which is helpful to the establishment of the credit risk management system of China's banking industry as a whole. It is helpful to optimize the macro-economic environment of our country and provide the direction for the transformation of financial market.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4;F272.3

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