商业银行视角下信贷企业担保圈风险识别与预警——基于改进的脆弱性分析模型
发布时间：2018-11-16 11:58
【摘要】：在国内经济下行背景下,全国各地信贷企业担保圈风险相继爆发,担保圈风险已成为商业银行区域性、系统性信贷风险管控的重点。借鉴大量国内外文献的研究成果,从商业银行视角出发,将矩阵识别与担保圈网络的脆弱性分析结合,提出了一种改进的脆弱性分析模型,测度了风险阈值的合理边界。从三个阶段分析和测度,第一阶段通过矩阵识别出所有的信贷企业担保圈,第二阶段借鉴商业银行风险评价体系进行风险分类,第三阶段通过脆弱性分析预测出担保圈内违约风险最大的信贷企业。调用某省商业银行信贷企业数据库,利用该银行SAS审计信息分析系统,绘制出2016年该省某经济开发区内所有信贷企业的担保圈关系图,并进行风险识别和预警,提出风险化解措施。实证结果与该省商业银行信贷监测结果一致,该方法实现了定性和定量的有机结合,具有一定的实际应用意义和学术参考价值。
[Abstract]:Under the background of the downtrend of domestic economy, the risk of guarantee circle of credit enterprises all over the country erupts one after another, and the risk of guarantee circle has become the focal point of commercial banks' regional, systematic credit risk control. From the perspective of commercial banks, a modified vulnerability analysis model is put forward to measure the reasonable boundary of risk threshold by combining matrix identification with vulnerability analysis of guarantee ring networks from the perspective of a large number of domestic and foreign literatures. From the three stages of analysis and measurement, the first stage through the matrix to identify all credit enterprise guarantee circle, the second stage of the commercial bank risk assessment system for risk classification, In the third stage, the credit enterprises with the biggest default risk in the guarantee circle are predicted by vulnerability analysis. By using the bank's SAS audit information analysis system, the guarantee circle diagram of all credit enterprises in a certain economic development zone of the province in 2016 is drawn, and the risk identification and warning are carried out. The measures to resolve the risk are put forward. The empirical results are consistent with the results of credit monitoring of commercial banks in this province. This method realizes the organic combination of qualitative and quantitative methods and has some practical significance and academic reference value.
【作者单位】： 建设银行山西省分行审计部;太原理工大学经济管理学院;山西财经大学统计学院;
【基金】：国家自然科学基金青年项目“省域装备制造业绿色创新效率评价、空间关联及提升路径研究”(41401655) 山西省软科学研究项目“金融发展、资源禀赋与区域承接产业转移差异研究”(2016041016-2)
【分类号】：F832.4
[Abstract]:Under the background of the downtrend of domestic economy, the risk of guarantee circle of credit enterprises all over the country erupts one after another, and the risk of guarantee circle has become the focal point of commercial banks' regional, systematic credit risk control. From the perspective of commercial banks, a modified vulnerability analysis model is put forward to measure the reasonable boundary of risk threshold by combining matrix identification with vulnerability analysis of guarantee ring networks from the perspective of a large number of domestic and foreign literatures. From the three stages of analysis and measurement, the first stage through the matrix to identify all credit enterprise guarantee circle, the second stage of the commercial bank risk assessment system for risk classification, In the third stage, the credit enterprises with the biggest default risk in the guarantee circle are predicted by vulnerability analysis. By using the bank's SAS audit information analysis system, the guarantee circle diagram of all credit enterprises in a certain economic development zone of the province in 2016 is drawn, and the risk identification and warning are carried out. The measures to resolve the risk are put forward. The empirical results are consistent with the results of credit monitoring of commercial banks in this province. This method realizes the organic combination of qualitative and quantitative methods and has some practical significance and academic reference value.
【作者单位】： 建设银行山西省分行审计部;太原理工大学经济管理学院;山西财经大学统计学院;
【基金】：国家自然科学基金青年项目“省域装备制造业绿色创新效率评价、空间关联及提升路径研究”(41401655) 山西省软科学研究项目“金融发展、资源禀赋与区域承接产业转移差异研究”(2016041016-2)
【分类号】：F832.4
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7 张东s，
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