本文選題：銀行　切入點(diǎn)：信用評(píng)級(jí)　出處：《中南大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：信用風(fēng)險(xiǎn)是銀行面臨的最主要風(fēng)險(xiǎn),科學(xué)的評(píng)價(jià)和管理信用風(fēng)險(xiǎn)對(duì)于銀行業(yè)經(jīng)營(yíng)至關(guān)重要。從上個(gè)世紀(jì)五十年代以來(lái),銀行的內(nèi)部信用評(píng)級(jí)方法經(jīng)歷了主觀判斷、分析模板、打分卡和模型化分析的演變過(guò)程,與銀行業(yè)務(wù)發(fā)展和風(fēng)險(xiǎn)分析技術(shù)同步發(fā)展。銀行監(jiān)管部門(mén)也提出了標(biāo)準(zhǔn)法、內(nèi)部評(píng)級(jí)法等方法用來(lái)衡量信用風(fēng)險(xiǎn),代表著銀行內(nèi)部信用評(píng)級(jí)方法的改進(jìn)方向。而我國(guó)銀行業(yè)內(nèi)部信用評(píng)級(jí)技術(shù)、手段與監(jiān)管標(biāo)準(zhǔn)和國(guó)際先進(jìn)經(jīng)驗(yàn)還存在較大差距,亟需提出符合現(xiàn)狀的優(yōu)化方案。 本文在研究銀行內(nèi)部評(píng)級(jí)理論的基礎(chǔ)上,分析我國(guó)銀行內(nèi)部評(píng)級(jí)方法應(yīng)具備的一般性要求。隨后,采用實(shí)證研究的方法,分析A銀行內(nèi)部信用評(píng)級(jí)所采用的方法及其優(yōu)缺點(diǎn)。在研究過(guò)程中,本文針對(duì)A銀行原始數(shù)據(jù)積累的不足、無(wú)法依靠違約概率模型評(píng)估客戶違約信息的現(xiàn)狀,提出短期內(nèi)結(jié)合打分卡方法與違約概率模型方法相結(jié)合評(píng)估客戶違約信息,并在長(zhǎng)期內(nèi)向違約概率模型方法過(guò)渡的優(yōu)化方案。本文在某商業(yè)銀行企業(yè)違約數(shù)據(jù)基礎(chǔ)上,借助因子分析技術(shù),分析了各財(cái)務(wù)指標(biāo)在解釋違約概率上的有效程度,一方面為優(yōu)化打分卡指標(biāo)設(shè)計(jì)和權(quán)重安排提出客觀依據(jù),并就A銀行基于打分卡體系的評(píng)級(jí)系統(tǒng)作了具體設(shè)計(jì)示范。另一方面,為違約概率模型進(jìn)一步設(shè)計(jì)奠定基礎(chǔ)。
[Abstract]:Credit risk is the most important risk faced by banks. It is very important to evaluate and manage credit risk scientifically. Since -50s, the internal credit rating method of banks has experienced subjective judgment and analysis template. The evolving process of scorecard and model-based analysis has been synchronized with the development of banking business and risk analysis techniques. Bank regulators have also proposed standard methods, internal rating methods, and other methods to measure credit risk. It represents the direction of improvement of the internal credit rating method of banks. However, there is still a big gap between the internal credit rating technology and the standard of supervision and the international advanced experience in our banking industry, so it is urgent to put forward the optimization scheme in line with the present situation. On the basis of studying the internal rating theory of banks, this paper analyzes the general requirements of the internal rating methods of banks in China. This paper analyzes the methods of internal credit rating of Bank A and its advantages and disadvantages. In the course of the research, this paper can not rely on the default probability model to evaluate the current situation of customer default information in view of the deficiency of the original data accumulation of Bank A. This paper proposes an optimal scheme to evaluate customer default information with the combination of scorecard method and default probability model method in the short term, and to transfer the default probability model method into default probability model in a long time. Based on the default data of a commercial bank, this paper proposes an optimal scheme for evaluating customer default information. With the help of factor analysis technology, this paper analyzes the effective degree of each financial index in explaining the probability of default. On the one hand, it provides an objective basis for optimizing the design of scorecard index and weight arrangement. On the other hand, it lays a foundation for the further design of the default probability model.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.3

【共引文獻(xiàn)】

相關(guān)期刊論文 前3條

1 劉偉軍;;差別化的貸款利率定價(jià)模型設(shè)計(jì)及系統(tǒng)實(shí)現(xiàn)[J];贛南師范學(xué)院學(xué)報(bào);2013年06期

2 沈慶R，

本文編號(hào)：1631307