【摘要】：信用風(fēng)險(xiǎn)管理是貸后管理的核心。論文以Y銀行為案例,分別從政府、企業(yè)和商業(yè)銀行自身分析了Y銀行貸后信用風(fēng)險(xiǎn)形成的原因,并總結(jié)了商業(yè)銀行貸后信用風(fēng)險(xiǎn)管理過(guò)程種存在主要問(wèn)題。論文以Y銀行在貸后信用風(fēng)險(xiǎn)管理中存在問(wèn)題為基礎(chǔ),解讀了巴塞爾新本協(xié)議對(duì)貸后信用風(fēng)險(xiǎn)管理所提供的管理建議,分別從貸后信用風(fēng)險(xiǎn)管理的識(shí)別、度量和控制三個(gè)方面提出了解決中國(guó)商業(yè)銀行貸后信用風(fēng)險(xiǎn)管理問(wèn)題的對(duì)策建議。貸后信用風(fēng)險(xiǎn)的識(shí)別主要解決三個(gè)層面的問(wèn)題,第一層面是哪些因素被列入管控；第二層面為哪些因素可能最終導(dǎo)致信用風(fēng)險(xiǎn)；第三個(gè)層面則是各個(gè)因素所導(dǎo)致的風(fēng)險(xiǎn)程度的大小。 本文借鑒巴塞爾新資本協(xié)議所提出的內(nèi)部評(píng)級(jí)法,并對(duì)該方法進(jìn)行了適用性研究和拓展,從而作為商業(yè)銀行貸后信用風(fēng)險(xiǎn)度量的主要方法。內(nèi)部評(píng)級(jí)法的應(yīng)用需要商業(yè)銀行的內(nèi)部系統(tǒng)具備三個(gè)條件：(1)內(nèi)部評(píng)級(jí)應(yīng)保證違約率和違約損失率兩個(gè)指標(biāo)的可測(cè)性和準(zhǔn)確性；(2)科學(xué)劃分信貸資產(chǎn)的風(fēng)險(xiǎn)級(jí)別；(3)保證內(nèi)部評(píng)級(jí)過(guò)程的系統(tǒng)性和完整性。內(nèi)部評(píng)級(jí)法適用的關(guān)鍵問(wèn)題在于違約率和違約損失率的度量,兩個(gè)指標(biāo)都有多種度量方法可供選擇,商業(yè)銀行需要根據(jù)經(jīng)濟(jì)形勢(shì)需要和自身的風(fēng)險(xiǎn)管理水平選擇適合的方法。 本文從制度和文化、技術(shù)兩個(gè)層面對(duì)貸后信用風(fēng)險(xiǎn)管理進(jìn)行分析并給出管理建議。制度層面上的主要建議為：(1)構(gòu)筑健全法律體系和社會(huì)信用體系；(2)培養(yǎng)風(fēng)險(xiǎn)管理文化,提高風(fēng)險(xiǎn)管理意識(shí)；(3)完善內(nèi)部治理機(jī)制,提高激勵(lì)效率；(4)加強(qiáng)風(fēng)險(xiǎn)管理培訓(xùn),大力引進(jìn)風(fēng)險(xiǎn)管理人才。技術(shù)層面的則主要從信貸資產(chǎn)分級(jí)管理、金融衍生工具的應(yīng)用和貸后業(yè)務(wù)外包方面提出相應(yīng)的管理建議。
[Abstract]:Credit risk management is the core of post-loan management. Taking Y Bank as an example, this paper analyzes the causes of the formation of post-loan credit risk of Y Bank from the government, enterprises and commercial banks, and summarizes the main problems in the process of post-loan credit risk management of commercial banks. Based on the existing problems in the post-loan credit risk management of Y Bank, this paper interprets the management suggestions provided by the Basel New Accord on the post-loan credit risk management, respectively, and identifies the post-loan credit risk management. Three aspects of measurement and control are put forward to solve the problem of credit risk management of Chinese commercial banks. The identification of post-loan credit risk mainly solves the problem of three levels, the first level is which factors are included in the control, the second level is which factors may lead to the credit risk. The third level is the level of risk caused by various factors. This paper draws lessons from the internal rating method proposed by the Basel New Capital Accord, and studies and extends the applicability of the method, thus serving as the main method to measure the credit risk of commercial banks after loan. The application of internal rating method requires the internal system of commercial banks to have three conditions: (1) the internal rating should ensure the measurability and accuracy of default rate and default loss rate, (2) the risk level of credit assets should be classified scientifically. (III) ensure the systematization and integrity of the internal rating process. The key problem of internal rating method is the measurement of default rate and default loss rate. Both indexes have many kinds of measurement methods to choose. Commercial banks need to choose suitable methods according to the economic situation and their own risk management level. This paper analyzes the credit risk management after loan from the two aspects of system, culture and technology, and gives some management suggestions. The main suggestions are: (1) to build a sound legal system and social credit system; (2) to cultivate the culture of risk management and raise the awareness of risk management; (3) to perfect the internal governance mechanism and improve the incentive efficiency; (4) to strengthen the training of risk management. Vigorously introduce risk management personnel. The technical level is mainly from the credit asset classification management, the application of financial derivatives and loan outsourcing aspects of the corresponding management recommendations.
【學(xué)位授予單位】：廣西師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33

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