本文選題：商業(yè)銀行 + 信貸風(fēng)險(xiǎn)　； 參考：《浙江大學(xué)》2013年碩士論文

【摘要】：信貸風(fēng)險(xiǎn)一直是我國(guó)商業(yè)銀行面臨的最主要的風(fēng)險(xiǎn)。信貸風(fēng)險(xiǎn)度量的研究有利于商業(yè)銀行做好有效的風(fēng)險(xiǎn)防范機(jī)制和減少信貸損失。本文主要根據(jù)國(guó)內(nèi)商業(yè)銀行信貸風(fēng)險(xiǎn)研究現(xiàn)狀,旨在研究科學(xué)、有效且更符合實(shí)際的信貸風(fēng)險(xiǎn)度量模型來提高信貸風(fēng)險(xiǎn)度量的準(zhǔn)確性,并為國(guó)內(nèi)信貸風(fēng)險(xiǎn)所面臨的問題提供合理的政策建議。 本文概括介紹了目前商業(yè)銀行信貸風(fēng)險(xiǎn)的研究現(xiàn)狀以及國(guó)內(nèi)外常用的商業(yè)銀行信用貸款風(fēng)險(xiǎn)度量模型,并對(duì)各個(gè)模型的優(yōu)缺點(diǎn)進(jìn)行了對(duì)比分析。為了提高信貸違約度量的準(zhǔn)確性,本文通過結(jié)合國(guó)內(nèi)實(shí)際情況和綜合各種模型的優(yōu)勢(shì),提出一種基于數(shù)據(jù)融合的LSD度量模型來評(píng)估商業(yè)銀行信貸風(fēng)險(xiǎn)違約情況(指違約、不違約)。 為了驗(yàn)證模型的有效性和準(zhǔn)確性,本文根據(jù)商業(yè)銀行財(cái)務(wù)數(shù)據(jù)樣本對(duì)新提出的LSD模型與單一Logit模型和支持向量機(jī)模型進(jìn)行對(duì)比分析。實(shí)證結(jié)果表明LSD模型比Logit模型或支持向量機(jī)對(duì)銀行信貸違約度量具有更高的準(zhǔn)確性和有效性,適用于中國(guó)商業(yè)銀行信貸違約度量。 最后基于模型分析結(jié)果以及國(guó)內(nèi)社會(huì)、經(jīng)濟(jì)環(huán)境實(shí)際情況,本文對(duì)我國(guó)商業(yè)銀行信貸風(fēng)險(xiǎn)所面臨的挑戰(zhàn)提出針對(duì)性的政策建議,以提高我國(guó)商業(yè)銀行的國(guó)際競(jìng)爭(zhēng)力。
[Abstract]:Credit risk has always been the most important risk faced by commercial banks in China. The study of credit risk measurement is helpful for commercial banks to do a good job of risk prevention mechanism and reduce credit losses. According to the present situation of domestic commercial banks' credit risk research, this paper aims to study the scientific, effective and more practical credit risk measurement model to improve the accuracy of credit risk measurement. And provide reasonable policy advice for domestic credit risk problems. This paper briefly introduces the current research situation of commercial bank credit risk and the domestic and foreign commercial bank credit loan risk measurement model, and makes a comparative analysis of the advantages and disadvantages of each model. In order to improve the accuracy of credit default measurement, this paper proposes a LSD metric model based on data fusion to evaluate the credit risk default of commercial banks by combining the domestic actual situation and the advantages of various models. No breach of contract. In order to verify the validity and accuracy of the model, this paper compares the proposed LSD model with the single Logit model and the support vector machine model according to the financial data samples of commercial banks. The empirical results show that the LSD model is more accurate and effective than the Logit model or support vector machine for the credit default measurement of Chinese commercial banks. Finally, based on the results of the model analysis and the actual situation of the domestic social and economic environment, this paper puts forward targeted policy recommendations on the challenges facing the credit risk of our commercial banks in order to improve the international competitiveness of our commercial banks.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.4

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