【摘要】：隨著社會(huì)經(jīng)濟(jì)的發(fā)展,適應(yīng)經(jīng)濟(jì)發(fā)展需求,允許社會(huì)閑置資本進(jìn)入商業(yè)銀行領(lǐng)域,另外隨著利率的市場(chǎng)化,商業(yè)銀行的競(jìng)爭也日趨激烈；同時(shí),經(jīng)濟(jì)轉(zhuǎn)型期,商業(yè)銀行面對(duì)的市場(chǎng)環(huán)境更加復(fù)雜,面臨的信用風(fēng)險(xiǎn)問題也更加突出。因此,準(zhǔn)確評(píng)估信用風(fēng)險(xiǎn)對(duì)商業(yè)銀行來說顯得尤為重要,而如何準(zhǔn)確評(píng)估信用風(fēng)險(xiǎn),其關(guān)鍵就是加強(qiáng)對(duì)信用風(fēng)險(xiǎn)評(píng)估模型的構(gòu)建。本文基于灰色聚類模型結(jié)合傳統(tǒng)的財(cái)務(wù)指標(biāo),建立關(guān)于商業(yè)銀行的信用風(fēng)險(xiǎn)評(píng)估模型；基于灰色預(yù)測(cè)模型,并利用樣本商業(yè)銀行的不良貸款額數(shù)據(jù),對(duì)商業(yè)銀行的信用風(fēng)險(xiǎn)水平進(jìn)行整體預(yù)測(cè),使商業(yè)銀行能夠明確信用風(fēng)險(xiǎn)的狀況。研究方法上采用文獻(xiàn)研究法,信用風(fēng)險(xiǎn)評(píng)估計(jì)量模型對(duì)比分析法,實(shí)證研究方法,并且結(jié)合定性和定量方法,構(gòu)建了商業(yè)銀行信用風(fēng)險(xiǎn)評(píng)級(jí)模型和利用不良貸款額數(shù)據(jù)的信用風(fēng)險(xiǎn)預(yù)測(cè)模型。創(chuàng)新點(diǎn)在于將灰色聚類模型和灰色預(yù)測(cè)模型同時(shí)應(yīng)用在商業(yè)銀行信用風(fēng)險(xiǎn)的評(píng)估中。引入了基于灰色理論的商業(yè)銀行信用評(píng)估的技術(shù)和方法,為商業(yè)銀行提高信用風(fēng)險(xiǎn)的計(jì)量水平提供了有益的思路；有利于商業(yè)銀行通過利用該種信用風(fēng)險(xiǎn)計(jì)量方法掌握信用風(fēng)險(xiǎn)級(jí)別,合理貸款等相關(guān)業(yè)務(wù),在激烈的市場(chǎng)競(jìng)爭中贏得主動(dòng),因此本文對(duì)商業(yè)銀行的信用風(fēng)險(xiǎn)評(píng)估不僅具有理論且有現(xiàn)實(shí)意義。
[Abstract]:With the development of social economy, adapting to the demand of economic development, social idle capital is allowed to enter the field of commercial bank. In addition, with the marketization of interest rate, the competition of commercial bank is becoming more and more intense; at the same time, the economic transition period, Commercial banks face more complex market environment and more prominent credit risk problems. Therefore, it is very important for commercial banks to evaluate credit risk accurately, and the key to evaluate credit risk accurately is to strengthen the construction of credit risk assessment model. In this paper, the credit risk assessment model of commercial banks is established based on the grey clustering model combined with the traditional financial indicators, and the non-performing loan amount data of the sample commercial banks are used based on the grey forecasting model. The credit risk level of the commercial bank is forecasted as a whole, so that the commercial bank can make clear the credit risk condition. The research methods are literature research method, credit risk assessment model comparative analysis method, empirical research method, and combination of qualitative and quantitative methods. The credit risk rating model of commercial banks and the credit risk forecasting model using non-performing loan amount data are constructed. The innovation lies in the application of grey clustering model and grey prediction model to the credit risk assessment of commercial banks. This paper introduces the techniques and methods of credit evaluation of commercial banks based on grey theory, which provides a useful way of thinking for commercial banks to improve the level of credit risk measurement. It is beneficial for commercial banks to grasp the credit risk grade, reasonable loan and other related business by using the credit risk measurement method to win the initiative in the fierce market competition. Therefore, this paper not only has theoretical and practical significance to the credit risk assessment of commercial banks.
【學(xué)位授予單位】：蘭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：D922.28

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本文編號(hào)：2225943