商业银行公司贷款风险与效益评估：面向中国银行甘肃省分行贷款投向与经济效益的探索

发布时间：2018-01-05 00:22

本文关键词：商业银行公司贷款风险与效益评估：面向中国银行甘肃省分行贷款投向与经济效益的探索　出处：《兰州大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着世界金融危机的频繁来袭,人们越来越多地开始关注商业银行的经营风险与经营效益。实际上,这在很大程度上依赖于银行贷款的风险管控与经济效益,这可以追溯到巴塞尔新资本协议的实施、紧缩货币政策对商业银行的影响及风险管控与经营效益对商业银行可持续发展的重要意义。本文依托巴塞尔新资本协议信用风险理论及信用风险衡量模型,首先分析了中国银行甘肃省分行新资本协议内评法下RAROC与EVA的经济涵义；其次进行了中国银行甘肃省分行不同贷款行业与不同贷款客户规模的RAROC与EVA计量分析,这包括17个贷款行业RAROC与EVA计量分析、贷款客户规模RAROC计量分析；然后指出了中国银行甘肃省分行公司贷款风险调整后资本收益率较低,经济价值增加值不高,其诱因是由于公司贷款风险缓释偏弱,资本占用较高所致。结合新资本协议的不断深化实施,加强信用风险缓释工具的运用已经刻不容缓。最后,论文阐明了信用风险缓释工具的运用要求,并提出了建立健全信用风险缓释管理体系,切实提高公司贷款收益的建议。
[Abstract]:With the frequent attack of the world financial crisis, people begin to pay more and more attention to the management risk and benefit of the commercial bank. In fact, it depends on the risk control and economic benefit of the bank loan to a great extent. This can be traced back to the implementation of the new Basel Capital Accord. The impact of tight monetary policy on commercial banks and the significance of risk management and management benefits to the sustainable development of commercial banks. This paper relies on the new Basel Capital Accord credit risk theory and credit risk measurement model. Firstly, the economic implications of RAROC and EVA under the new capital agreement of Gansu Branch of Bank of China are analyzed. Secondly, the paper analyzes the RAROC and EVA of different loan industry and different loan customer size of Bank of China Gansu Branch, which includes 17 loan industry RAROC and EVA econometric analysis. RAROC quantitative analysis of loan customer size; Then points out that the bank of China Gansu Branch after the adjustment of the risk of capital return is low, the added value of economic value is not high, the inducement is that the company loan risk release is weak. Combined with the deepening implementation of the new capital agreement, it is urgent to strengthen the use of credit risk mitigation tools. Finally, the paper clarifies the application requirements of credit risk mitigation tools. The paper also puts forward some suggestions on how to establish and perfect the credit risk mitigation management system and improve the company's loan income.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4

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