X银行地方政府融资平台信贷压力测试应用研究

发布时间：2018-10-13 18:54

【摘要】：自2008年后,地方政府融资平台的数量和规模急剧增加,各银行对地方融资平台的信用贷款也急剧增加。随着还款高峰期的到来,承担巨额地方政府融资平台贷款的商业银行重新审视自身的信用风险管理工作。在中国银行监督委员会牵头组织各地银行和金融机构开展一次地方政府融资平台贷款压力测试工作的背景下,将压力测试方法整合融入商业信贷风险管理框架之中具有重要实践意义。本文以X银行S分行(以下简称X银行)地方政府融资平台贷款为研究对象,研究了其信贷风险管理中压力测试方法的应用。本文尝试利用商业银行信用风险分析方法,结合X银行地方政府融资平台贷款业务现状,分别从宏、中、微观三个层面进行信用风险因素分析,为基础压力指标的归纳提供参考依据。通过查询研究文献、参考监管机构资料归纳了基础压力指标,运用德尔菲法对基础压力指标进行筛选,最终获得7个压力指标。根据X银行地方政府融资平台贷款业务的还款来源和实践经验归纳罗列出了4个压力指标作为情景假设,并设定了轻度、中度、重度情景变化幅度。基于压力测试方法在商业银行信用资产风险管理应用研究成果,本文设计了完整的地方政府融资平台信贷压力测试流程,在压力测试模型的构建上创新引入较为成熟的Credit-Metrics信用风险度量模型。通过X银行地方政府融资平台贷款样本进行压力测试,检验了设计的合理性,客观反映了假设情境下地方政府融资平台贷款表现对该行的负面影响程度。本文最后分析压力测试在X银行地方政府融资平台信用风险管理的应用结果,总结了地方政府融资平台压力测试过程并提出了加强地方政府融资平台信贷管理建议。
[Abstract]:Since 2008, the number and size of local government financing vehicles have increased dramatically, and banks' credit loans to local financing vehicles have also increased sharply. With the arrival of the repayment peak, the commercial banks that take on huge loans from local government financing platforms re-examine their credit risk management work. Against the background of the Bank of China Supervision Commission leading banks and financial institutions to conduct a local government financing platform loan stress test, It is of great practical significance to integrate the stress test methods into the commercial credit risk management framework. In this paper, the application of the stress test method in the credit risk management of X Bank S Branch (X Bank) local government financing platform loan is studied. This article attempts to use the commercial bank credit risk analysis method, unifies the X bank local government financing platform loan service present situation, separately carries on the credit risk factor analysis from the macro, the middle, the microscopic three levels, It provides reference for induction of basic pressure index. By consulting the research literature and referring to the data of the regulatory body, the basic pressure index is summarized, and the Delphi method is used to screen the basic pressure index, and seven pressure indexes are obtained. According to the repayment sources and practical experience of local government financing platform loan business in X Bank, four pressure indicators are listed as scenario assumptions, and the range of mild, moderate and severe scenarios is set up. Based on the application of stress test method in commercial bank credit asset risk management, a complete local government financing platform credit stress testing process is designed in this paper. This paper introduces a mature Credit-Metrics credit risk measurement model on the construction of stress test model. Through X bank local government financing platform loan sample to carry on the stress test, has tested the design rationality, objectively reflected the local government financing platform loan performance under the hypothetical situation to the bank the negative influence degree. Finally, this paper analyzes the application of stress testing in X bank local government financing platform credit risk management, summarizes the local government financing platform stress testing process and puts forward some suggestions to strengthen the local government financing platform credit management.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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