基于内部评级法的我国商业银行中小企业贷款信用风险的度量与实证研究

发布时间：2018-01-08 01:30

本文关键词：基于内部评级法的我国商业银行中小企业贷款信用风险的度量与实证研究　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：金融行业在近百年来得到了的高速发展,同时也在全球经济体系中发挥着越来越为重要的作用。1999年美国出台《金融服务现代化法》中提出银行、证券和保险的混业经营,从此全球金融行业取得了前所未有的发展。然而金融创新带来的金融自由化浪潮,大大加剧了金融业的竞争,也衍生出更多、更复杂的金融风险,最终导致了近几十年来的多次金融危机,这些金融危机导致世界经济遭受严重的损失,这样的背景下如何认识和管理金融业风险愈发得到各国的重视。然而在金融危机爆发的时候,各个国家遭受损失的程度并不尽相同。究其原因,本人赞同是由于各个国家的金融监管模式和强度不同所造成的,即金融风险的防范能力有区别。对我国来说,金融业是经济重要组成部分,而银行又是我国金融业最主要的组成部分,所以银行风险的防范是金融行业风险防范的重点。巴塞尔资本协议中认为银行面临的风险主要包括如下四个：信用风险、市场风险、操作风险、流动性风险。信用风险通常是银行首要面临的风险。所以银行的风险管理中,信用风险管理占有重要地位。一般来说风险管理包括风险的识别、度量、预防控制及监管等步骤,对于商业银行的信用风险管理主要是指风险的分析度量、防范、对冲和补偿、资本充足率的监管等,其中对贷款项目的信用风险的精确度量是授信质量的前提,同时还需考虑贷款客户的信用状况,因此信用风险度量和评价成为银行信用风险管理的重要组成部分。在加强风险管理的背景下,我国银监会在整合前期发布的一系列相关办法文件后,于2012年6月发布了《商业银行资本管理办法(试行)》(后简称《资管办法》)。特别的新监管框架中从数量上看,17个附件里超过三分之一的指引文件标题中都含有“信用风险”四字--可见监管机构对信用风险的重视程度。同时新监管框架提出了商业银行机构是必须分阶段逐步建立和完善的信用评价体系。 2012年初召开的五年一度的全国金融工作会议中要求“确保金融资源特别是信贷资源更好的服务于实体经济,并向中小企业倾斜”是下一阶段的重要工作。银监会为贯彻国务院关于加强小微企业金融服务的政策精神,印发了《关于商业银行进一步改进小企业金融服务的通知》等系列支持小企业发展的政策文件,力图巩固和扩大前期中小企业金融服务工作成果,进一步促进中小企业金融服务业可持续发展。然而一方面逐步试行更为严格控制风险的监管规则和要求,另一方面又要希望银行向风险较大的中小企业扩大贷款规模,加大为中小企业金融服务力度。在这样非常复杂的、矛盾重重的背景下,需要得到各级政府和社会各界的重视和共同努力。为了探讨和解决这一问题,本文选取从银行角度出发,从源头上探讨要解决商业银行中小企业贷款问题、信用风险度量、控制和预警等问题,就必须专门针对中小企业贷款信用风险构建内部评级体系,从而有效的控制风险以及满足新监管办法的要求。本文从中小企业经营管理中的特有风险因素出发,在构建中小企业信用风险度量指标体系的基础上,采用符合巴塞尔协议内部评级法(IRB)要求的检验和验证方法,通过饱和变换构建具有严格统计意义、较好的预测能力和扩展性的信用评分模型。同时,通过模型的校准和映射,开发出符合银行实际情况和中小企业特殊情况的主标尺和映射函数,使模型的输出结果与“现实”的违约率以及评级结果形成较好的映射关系。本研究对银行构建内部评级体系以及提高中小企业信用风险管理水平提供了实证的支持,具有一定现实参考意义。本文的结构大致如下：第一章,绪论。阐述了选题背景和意义,较为全面的对相关文献进行分析和综述,此后提出了本文的研究内容、研究方法、框架结构,论文的创新点。第二章,我国商业银行新监管办法。首先对巴塞尔协议的历史演进展开回顾,并简单的对巴塞尔新资本协议和第三版巴塞尔协议的新提法或新方法做出总结和归纳,然后对我国银监会在前期的多个指引和办法的的基础上提出的《商业银行资本管理办法(试行)》及附则进行解读,最后专门详述了本文相关的信用风险度量方法等。第三章,提出商业银行中小企业贷款的一个信用风险度量模型。在上述的准备过后,提出了一个构建商业银行中小企业贷款信用风险度量的模型。第一步确定候选指标池,第二步删选指标,第三步回归得到计量模型,第四步模型校准与映射(评级)。第四章,某小型商业银行中小企业信用风险度量实证研究。在经过上一章的设定的方法后,最终结果里定量模型含有中6个指标；定性模型含有7个指标。其后,本章继续按内部评级法的要求做到了对客户的评级。第五章,研究总结与建议。对实证结论展开分析,并指出了本人在文章中的不足之处。然后提出了对我国商业银行运用内部评级法构建中小企业贷款信用风险度量模型和评级系统的建议。最后指出进一步的四个研究方向。
[Abstract]:The rapid development of the financial industry has been in the last hundred years, but also in the global economic system plays a more and more important role for bank.1999 in the United States issued "Financial Services Modernization Act", mixed operation of securities and insurance, from the global financial industry has achieved a hitherto unknown development. However, financial innovation brings the wave of financial liberalization, greatly intensified the competition in the financial industry, more and more complex financial risk, eventually led to the financial crisis in recent decades, the financial crisis suffered a heavy loss of world economy, the background of how to recognize and manage the risks of financial industry more and more national attention.
However, when the outbreak of the financial crisis, all countries damage are not the same. The reason is because I agree with the mode of financial supervision and the strength of various countries caused by the different, namely the financial risk prevention ability are different. In China, the financial industry is an important part of the economy, while banking is a part of China's financial industry mainly, so the prevention of bank risk is the key risk prevention of the financial industry.
The Basel capital accord that banks face the risk mainly includes the following four aspects: operational risk, credit risk, market risk, liquidity risk. Credit risk is usually the risk of bank faced. So the bank risk management, credit risk management occupies an important position. Measure the general risk management, including risk identification. The prevention and control and supervision procedures, for the credit risk management of commercial banks mainly refers to the risk analysis and measurement, prevention, hedge and compensation, the regulation of capital adequacy, the credit risk of loan project is a prerequisite for accurate measurement of credit quality, also need to consider the loan customer's credit status, so credit risk measurement and evaluation has become an important part of bank credit risk management.
In strengthening the risk management in the context of a series of related documents to the China Banking Regulatory Commission released on the integration of early, on June 2012 issued a "commercial bank capital management (Trial) > (after referred to as the" information management way >). The new regulatory framework especially in terms of quantity, 17 more than 1/3 accessories in the guidance document title contains four words "credit risk" -- visible regulators attention to credit risk. At the same time, the new regulatory framework proposed commercial banks must gradually establish and perfect the credit evaluation system in stages.
At the beginning of 2012 meeting of the five annual meeting of national financial work required to ensure financial resources especially credit resources to better serve the real economy, and tilt to small and medium-sized enterprises is an important work in the next stage. China Banking Regulatory Commission to implement the State Council on strengthening the Small and micro businesses financial services policy, issued a "commercial bank financial services for small enterprises to further improve the notification on the series of supporting the development of small enterprises in the policy file, to consolidate and expand the financial services of small and medium-sized enterprises early work, to further promote the sustainable development of small and medium-sized enterprises in financial services. However, a gradual trial more strict risk control rules and regulatory requirements, on the other hand, hope banks to expand lending to small and medium-sized enterprises greater risk, increase the intensity of financial services for small and medium-sized enterprises. In this very complex, heavy contradiction Heavy background, need all levels of government and social attention and efforts. In order to discuss and solve this problem, this paper selects from the perspective of the banks, to explore the solution to commercial bank loans to small and medium-sized enterprises from the source, credit risk measurement, control and pre alarm and other issues, it must be specifically for small and medium enterprises credit the risk of loans to build the internal rating system, control risk effectively and meet the requirements of the new regulatory measures.
This article from the specific risk factors in the management of small and medium-sized enterprises, based on the construction of SME credit risk measurement index system, according to the IRB Basel agreement (IRB) test and verification method has strict requirements, construction of statistical significance by saturation transform, credit scoring model for better prediction ability and scalability at the same time, through the calibration and mapping model, the development of the main scale and mapping functions to meet the actual situation and the special circumstances of the Bank of small and medium-sized enterprises, the output result of the model and the "reality" of the default rate and the rating results form mapping relationship better. The research on Construction Bank internal rating system and provides empirical support to improve the level of credit risk management of small and medium-sized enterprises, has a certain practical significance.
The structure of this article is as follows:
The first chapter is the introduction. It sets forth the background and significance of the topic selection, and makes a comprehensive analysis and review of the related literature. After that, the research contents, research methods, framework structure and innovation of this paper are put forward.
The second chapter, to our country commercial bank supervision. Firstly, the historical evolution of the new Basel agreement to start review, and on the new Basel Capital Accord and the third edition of the Basel protocol of the new formulation or new method summarized, and then the China CBRC commercial bank capital management based on multiple guidelines and measures early on the < (Trial) > interpretation and annex, finally the specific details related to credit risk measurement methods.
The third chapter proposes a credit risk of commercial bank loans to small and medium-sized enterprises measurement model. After the preparation, proposed a construction of commercial banks to SMEs credit risk measurement model. The first step to determine the candidate pool index, second selected indicators, third step regression model, the fourth step model and calibration mapping (rating).
The fourth chapter, an empirical study on the SME credit risk measurement of a small commercial bank. After the setting method of the previous chapter, the final results in the quantitative model with 6 indicators; qualitative model with 7 indexes. Then, this chapter according to the IRB did to the customer rating.
The fifth chapter, the summary and suggestion research. To analyze the empirical conclusions, and pointed out the deficiencies in the article I. Then put forward to China's commercial banks using the internal rating method to construct the credit risk measurement model and rating system suggestion. Finally it points out four further research direction.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4;F275;F276.3

【参考文献】