本文關(guān)鍵詞：巴塞爾協(xié)議Ⅲ下我國商業(yè)銀行信用風險研究　出處：《南京財經(jīng)大學》2013年碩士論文　論文類型：學位論文

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【摘要】：金融是現(xiàn)代經(jīng)濟的核心，在市場經(jīng)濟中發(fā)揮著越來越重要的作用，而占據(jù)金融主體地位的商業(yè)銀行更是政府調(diào)節(jié)經(jīng)濟的重要渠道。隨著經(jīng)濟和金融全球化進程的不斷深入，我國商業(yè)銀行在國際舞臺上既面臨著機遇又面臨著挑戰(zhàn)，尤其是《巴塞爾協(xié)議Ⅲ》的出臺更是給國際商業(yè)銀行帶來了一場革命，使得國際商業(yè)銀行不得不面臨更大的困難。從我國商業(yè)銀行的角度分析，由于我國監(jiān)管部門對我國商業(yè)銀行監(jiān)管的要求要高于其他國家，所以短期內(nèi)我國商業(yè)銀行相比于其他國家商業(yè)銀行有明顯的優(yōu)勢，我國商業(yè)銀行應該抓住這次機遇增強其在國際上的影響力，不過從長期來看，我國商業(yè)銀行也將面臨著許多困難，如經(jīng)營模式改革、信用風險的監(jiān)管、流動性風險的預防等，我國商業(yè)銀行只有處理好這些問題，才能戰(zhàn)勝對手。 本文以我國的16家上市商業(yè)銀行為研究對象，其中重點研究的是上市商業(yè)銀行的信用風險。本文首先總結(jié)了國內(nèi)外關(guān)于信用風險度量的各種研究，重點是各種度量模型的發(fā)展進程，緊接著分析了《巴塞爾協(xié)議Ⅲ》的影響，其中包括對國際商業(yè)銀行和我國商業(yè)銀行兩個方面。論文的第三部分分析了我國商業(yè)銀行信用風險狀況，同時介紹了幾種重要的研究信用風險的模型，并且分析了各自的優(yōu)缺點,尤其是KMV模型。在文章的第四部分作者對KMV模型進行了修正，修正的重點是違約距離計算中長期貸款的系數(shù)m，通過對不同m值的檢驗，作者得出最佳的m值為0.3，在此基礎之上論文測算了我國上市商業(yè)銀行的違約距離，并且通過分析發(fā)現(xiàn)我國上市商業(yè)銀行的違約的可能性非常高。論文的最后一部分是政策建議部分，作者根據(jù)論文的分析有針對性的提出了以下幾點政策性建議：控制地方融資平臺信用風險，，完善信用風險管理體系，增強盈利能力，提高資本儲備，加強流動性監(jiān)管。希望本文的研究能對《巴塞爾協(xié)議Ⅲ》的推行以及我國商業(yè)銀行的發(fā)展有一定的促進作用。
[Abstract]:Finance is the core of modern economy, plays an increasingly important role in market economy, and occupy the financial subject position of commercial banks is an important channel for the government to regulate the economy. With the development of economic and financial globalization process, China's commercial banks in the international arena is facing opportunities and challenges. Especially "Basel 3 > has brought a revolution to the commercial bank, the international commercial banks have to face greater difficulties. From the analysis of China's commercial banks, due to China's regulatory requirements for commercial banks in China is higher than that of other countries, so in the short term than me commercial banks to commercial banks in other countries have the obvious advantage of China's commercial banks should seize this opportunity to strengthen its influence in the world, but in the long term, taking Ye Yin in China Banks will also face many difficulties, such as business mode reform, credit risk regulation and liquidity risk prevention. Only when these problems are handled well, can China's commercial banks overcome their opponents.
In this paper, 16 listed commercial banks in China as the research object, which focuses on the credit risk of listed commercial banks. This paper summarizes the research on credit risk measurement at home and abroad, focusing on the development process of all kinds of measurement model, then analyzes the influence of the Basel agreement > < III, including the international commercial bank and Commercial Bank of China in two aspects. The third part analyzes the credit risk of commercial banks in China, and introduces several important credit risk models, and analyzes their advantages and disadvantages, especially the KMV model. In the fourth part of the article the author modifies the KMV model. The key is the correction coefficient m default distance calculation of long-term loans, through the test of different m values, the author obtained the best m value is 0.3, on this basis the paper estimates listed The commercial bank's default distance, and through the analysis of China's listed commercial banks the possibility of default is very high. The last part is the policy recommendations according to the analysis of this part, the author puts forward the following suggestions: control of local financing platform credit risk, improve the credit risk management system. To enhance profitability, improve capital reserves, strengthen the liquidity supervision. I hope this research will have a certain role in promoting the "Basel accord > and the implementation of the development of China's commercial banks.

【學位授予單位】：南京財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.33

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