本文關(guān)鍵詞： 商業(yè)銀行 信用風(fēng)險(xiǎn) logistic模型 主成分分析　出處：《山東大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：商業(yè)銀行,是我國(guó)金融體系中必不可少、十分重要的一個(gè)組成部分。全球金融經(jīng)濟(jì)危機(jī)以來(lái),受到全球經(jīng)濟(jì)復(fù)蘇緩慢的影響,我國(guó)也放慢了經(jīng)濟(jì)發(fā)展速度。目前我國(guó)整體經(jīng)濟(jì)發(fā)展?fàn)顩r為實(shí)體經(jīng)濟(jì)總體呈現(xiàn)較為疲弱的狀態(tài),破產(chǎn)的中小型企業(yè)的數(shù)量也日益增加。另一方面,在各國(guó)經(jīng)濟(jì)發(fā)展聯(lián)系愈加緊密的經(jīng)濟(jì)全球化的大背景下,我國(guó)金融市場(chǎng)和各個(gè)國(guó)家的金融市場(chǎng)之間相互融合,聯(lián)系也愈加緊密。金融市場(chǎng)不斷推出各類(lèi)金融創(chuàng)新產(chǎn)品,金融機(jī)構(gòu)的混業(yè)經(jīng)營(yíng)模式已經(jīng)慢慢開(kāi)始形成。"十三五"以來(lái),我國(guó)繼續(xù)強(qiáng)調(diào),深化全面的金融體制改革將作為下一步經(jīng)濟(jì)改革的重點(diǎn)。因此,我國(guó)的商業(yè)銀行所要面對(duì)的競(jìng)爭(zhēng)與挑戰(zhàn)也在日益加大。所以,商業(yè)銀行要增強(qiáng)自身抵抗防御各類(lèi)風(fēng)險(xiǎn)的能力。目前,商業(yè)銀行面臨的威脅主要有操作風(fēng)險(xiǎn)、利率風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)等。其中,信用風(fēng)險(xiǎn)對(duì)商業(yè)銀行的健康可持續(xù)發(fā)展有著巨大的影響作用。信用風(fēng)險(xiǎn)的傳統(tǒng)含義是指?jìng)鶆?wù)人由于沒(méi)有能力或者自身無(wú)意愿向銀行還款,造成違約而對(duì)銀行所造成的資產(chǎn)損失。更廣泛的信用風(fēng)險(xiǎn),即現(xiàn)代意義上的含義,是指商業(yè)銀行因?yàn)榻杩钊嘶蚴袌?chǎng)交易對(duì)手發(fā)生違約行為從而導(dǎo)致自身?yè)p失的可能性;也就是說(shuō),現(xiàn)在的信用風(fēng)險(xiǎn)即包含了傳統(tǒng)含義,還包含由于借款人的信用評(píng)級(jí)發(fā)生變化和履約能力產(chǎn)生變動(dòng)而導(dǎo)致其債務(wù)的市場(chǎng)價(jià)值變動(dòng),從而引起商業(yè)銀行產(chǎn)生損失的可能性。一直以來(lái),我國(guó)制造業(yè)大國(guó)。近年來(lái),我國(guó)的GDP增長(zhǎng)速度較之前的增長(zhǎng)速度放緩,經(jīng)濟(jì)高速增長(zhǎng)的狀況轉(zhuǎn)變?yōu)楝F(xiàn)在的中高速增長(zhǎng)。與此同時(shí),我國(guó)的制作業(yè)由于受到不論是來(lái)自?xún)?nèi)部經(jīng)濟(jì)宏觀環(huán)境因素,還是外部世界經(jīng)濟(jì)形勢(shì)與發(fā)展格局改變的影響,也開(kāi)始邁入一個(gè)新的階段。與各類(lèi)高科技新興產(chǎn)業(yè)的風(fēng)頭正勁相比,我國(guó)制造業(yè)的現(xiàn)狀可謂是風(fēng)雨飄搖,在困難重重中艱難前行。本文先就信用風(fēng)險(xiǎn)的概念及產(chǎn)生原因進(jìn)行了簡(jiǎn)單的介紹,并概括性對(duì)國(guó)內(nèi)外關(guān)于商業(yè)銀行信用風(fēng)險(xiǎn)的研究做出了描述;然后對(duì)現(xiàn)有的信用風(fēng)險(xiǎn)的度量方法進(jìn)行簡(jiǎn)單介紹,做出比較與評(píng)價(jià),最終選用了最適合我國(guó)現(xiàn)狀的Logistics模型,對(duì)我國(guó)的制造企業(yè)的信用風(fēng)險(xiǎn)進(jìn)行了實(shí)證分析。在實(shí)證分析部分,本文分別選取了 83家高風(fēng)險(xiǎn)企業(yè)和83家低風(fēng)險(xiǎn)企業(yè),以及各自30項(xiàng)財(cái)務(wù)指標(biāo)和7項(xiàng)非財(cái)務(wù)指標(biāo)。在對(duì)各項(xiàng)指標(biāo)進(jìn)行數(shù)據(jù)處理,即顯著性檢驗(yàn)和主成分分析后,最終確定了構(gòu)建模型的5個(gè)主成分,利用這5個(gè)主成分建立了最終的Logistic回歸模型。通過(guò)檢驗(yàn),發(fā)現(xiàn)該模型有著較為準(zhǔn)確的預(yù)測(cè)率。這表明本文所構(gòu)建的回歸模型對(duì)于商業(yè)銀行預(yù)測(cè)制造業(yè)企業(yè)信用風(fēng)險(xiǎn)有著一定現(xiàn)實(shí)意義。文章最后,就我國(guó)商業(yè)銀行對(duì)于信用風(fēng)險(xiǎn)的防范和控制方面提出了相關(guān)對(duì)策建議。
[Abstract]:Commercial banks are an indispensable and very important part of our financial system. Since the global financial and economic crisis, it has been affected by the slow recovery of the global economy. China has also slowed down the pace of economic development. At present, the overall economic development of our country is the real economy as a whole showing a relatively weak state, the number of bankrupt small and medium-sized enterprises is also increasing day by day. On the other hand. Under the background of the economic globalization, the financial market of our country and the financial market of each country converge with each other. The financial market has continuously introduced various kinds of financial innovation products, and the mixed operation mode of financial institutions has gradually begun to form. Since the 13th Five-Year Plan, China has continued to emphasize. Deepening the comprehensive reform of the financial system will be the focus of the next step of economic reform. Therefore, the competition and challenges that the commercial banks of our country have to face are also increasing day by day. Commercial banks should strengthen their ability to resist and defend all kinds of risks. At present, commercial banks are faced with the main threats are operational risk, interest rate risk, market risk, credit risk, market risk. Among them, credit risk has a great impact on the healthy and sustainable development of commercial banks. The traditional meaning of credit risk is that the debtor is unable to pay back to the bank because of his inability or his own will. The loss of assets to banks caused by default. Broader credit risk, meaning in the modern sense. It refers to the possibility that the commercial bank will lose itself because of the breach of contract by the borrower or the market counterparty. That is to say, the current credit risk includes the traditional meaning, but also includes the change in the market value of the debt due to the change of the borrower's credit rating and the change of the performance ability. In recent years, the growth rate of GDP in China has slowed down compared with the previous growth rate. The situation of rapid economic growth has changed into the present medium and high speed growth. At the same time, the manufacturing industry in our country has been subjected to both internal macroeconomic and macroeconomic environmental factors. Or the impact of the external world economic situation and the change of development pattern, also began to enter a new stage. Compared with all kinds of high-tech emerging industries, the status quo of China's manufacturing industry is shaky. In this paper, the concept of credit risk and its causes are briefly introduced, and the domestic and foreign research on the credit risk of commercial banks is described. Then the existing measures of credit risk are simply introduced, compared and evaluated, and finally selected the most suitable for the current situation of China's Logistics model. In the part of empirical analysis, 83 high-risk enterprises and 83 low-risk enterprises are selected. And each of 30 financial indicators and 7 non-financial indicators. After the data processing of each index, namely significance test and principal component analysis, the five principal components of the model were finally determined. The final Logistic regression model was established by using these five principal components. It is found that the model has a more accurate prediction rate, which indicates that the regression model constructed in this paper has a certain practical significance for commercial banks to predict the credit risk of manufacturing enterprises. This paper puts forward some countermeasures and suggestions on the prevention and control of credit risk in Chinese commercial banks.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.33;F424

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