基于CPV模型和壓力測試的我國商業(yè)銀行信用風(fēng)險(xiǎn)研究
發(fā)布時(shí)間：2018-08-29 10:55
【摘要】：2007年美國次貸危機(jī)爆發(fā)，演變成一場席卷全球的金融海嘯，究其原因，是美國某些銀行信用風(fēng)險(xiǎn)管理不善。當(dāng)前歐債危機(jī)愈演愈烈，歐洲銀行業(yè)信用風(fēng)險(xiǎn)不斷攀升，全球銀行業(yè)亦是如此。傳統(tǒng)的信用風(fēng)險(xiǎn)管理模型已不再能夠完全適應(yīng)經(jīng)濟(jì)金融環(huán)境以及銀行業(yè)發(fā)展的需要，全面且有效的商業(yè)銀行信用風(fēng)險(xiǎn)管理模式、方法、技術(shù)是目前所有國家及全世界銀行業(yè)都非常關(guān)注的課題。借鑒發(fā)達(dá)國家的風(fēng)險(xiǎn)技術(shù)與方法、吸取其他國家在金融危機(jī)中的經(jīng)驗(yàn)教訓(xùn)，結(jié)合我國的實(shí)際國情，對(duì)我國商業(yè)銀行信用風(fēng)險(xiǎn)度量技術(shù)和管理方法進(jìn)行深入研究，不僅具有相當(dāng)?shù)睦碚搩r(jià)值，還有著極大的現(xiàn)實(shí)意義。 本文首先介紹了該研究的選題背景及意義，國內(nèi)外研究成果評(píng)述，研究方法及結(jié)構(gòu)安排，本文的創(chuàng)新點(diǎn)。其次，對(duì)商業(yè)銀行信用風(fēng)險(xiǎn)進(jìn)行了概述，介紹了信用風(fēng)險(xiǎn)的基本內(nèi)涵，我國商業(yè)銀行信用風(fēng)險(xiǎn)現(xiàn)狀，壓力測試的基本知識(shí)以及我國商業(yè)銀行信用風(fēng)險(xiǎn)壓力測試的可行性。指出目前我國商業(yè)銀行存在不良貸款額度過高、房地產(chǎn)信貸風(fēng)險(xiǎn)加大、風(fēng)險(xiǎn)評(píng)估體系不健全等方面的問題。再次，介紹了信用風(fēng)險(xiǎn)度量模型，簡述了傳統(tǒng)信用風(fēng)險(xiǎn)度量方法，詳述了CPV、KMV、CreditRisk+、CreditMetrics四種現(xiàn)代信用風(fēng)險(xiǎn)度量模型的比較，揭示了CPV模型應(yīng)用在本研究的優(yōu)勢和對(duì)我國國情的適用性。隨后，在基于CPV模型和壓力測試的實(shí)證分析中，介紹了CPV模型的基本原理，基于CPV模型應(yīng)用2003年4季度至2012年2季度的經(jīng)過CPI指數(shù)調(diào)整、季節(jié)調(diào)整、指標(biāo)篩選的CPI、GDP、固定資產(chǎn)投資、城市人均季度總收入4個(gè)解釋變量對(duì)我國商業(yè)銀行不良貸款率代表的違約率進(jìn)行了回歸分析，得出了不良貸款率和宏觀經(jīng)濟(jì)變動(dòng)的關(guān)系，，并進(jìn)行了假定情景下的壓力測試。實(shí)證結(jié)果表明CPI、GDP、固定資產(chǎn)投資、居民人均收入4個(gè)解釋變量經(jīng)過CPI指數(shù)調(diào)整和季節(jié)調(diào)整后，能夠?qū)Ω鶕?jù)不良貸款率轉(zhuǎn)換的宏觀經(jīng)濟(jì)指數(shù)Y進(jìn)行很好的解釋，擬合優(yōu)度超過95%，進(jìn)一步說明了CPV模型在我國商業(yè)銀行信用風(fēng)險(xiǎn)度量研究中的有效性和適用性。其中CPI、GDP、固定資產(chǎn)投資3個(gè)指標(biāo)對(duì)不良貸款的影響較大。違約率與CPI成正向變動(dòng)關(guān)系，GDP和固定資產(chǎn)投資與不良貸款率呈反向變動(dòng)關(guān)系，符合客觀經(jīng)濟(jì)情況。模型建立了以不良貸款率為代表的商業(yè)銀行信用風(fēng)險(xiǎn)和宏觀經(jīng)濟(jì)狀況的關(guān)系，符合人們對(duì)宏觀經(jīng)濟(jì)形勢會(huì)影響信貸風(fēng)險(xiǎn)的認(rèn)識(shí)，能夠?yàn)楸O(jiān)管部門和銀行信用風(fēng)險(xiǎn)管理部門提供一定的決策參考，具有一定的現(xiàn)實(shí)意義。 在此基礎(chǔ)之上，提出了我國商業(yè)銀行信用風(fēng)險(xiǎn)管理的若干意見，包括培育先進(jìn)的信貸文化、建立健全的內(nèi)部控制系統(tǒng)、建立健全的信用風(fēng)險(xiǎn)量化制度體系、加快數(shù)據(jù)庫建立步伐、完善不良貸款處理機(jī)制、加大IT支持與人才培養(yǎng)方面的投入等方面。
[Abstract]:The subprime mortgage crisis broke out in 2007, which turned into a global financial tsunami. The reason is the poor credit risk management of some American banks. The European debt crisis is intensifying and the credit risk of European banks is rising, as is the global banking sector. The traditional credit risk management model can no longer fully meet the needs of the economic and financial environment and the development of the banking industry, comprehensive and effective commercial bank credit risk management model, method, Technology is a subject of great concern to banks in all countries and around the world. Drawing lessons from the risk techniques and methods of developed countries, drawing lessons from other countries in the financial crisis and combining the actual conditions of our country, the paper makes a deep study on the credit risk measurement techniques and management methods of Chinese commercial banks. It not only has considerable theoretical value, but also has great practical significance. Firstly, this paper introduces the background and significance of the research, the review of domestic and foreign research results, the research methods and structure arrangement, and the innovation of this paper. Secondly, it summarizes the credit risk of commercial banks, introduces the basic connotation of credit risk, the present situation of credit risk of commercial banks in China, the basic knowledge of stress testing and the feasibility of credit risk stress test of commercial banks in China. It is pointed out that the commercial banks in our country have some problems, such as the excessive amount of non-performing loans, the increase of real estate credit risk and the unsound risk assessment system. Thirdly, the credit risk measurement model is introduced, the traditional credit risk measurement method is briefly introduced, the comparison of four modern credit risk measurement models based on CPV,KMV,CreditRisk CreditMetrics is given in detail, and the advantages of the CPV model applied in this study and its applicability to the situation of our country are revealed. Then, in the empirical analysis based on CPV model and stress test, the basic principle of CPV model is introduced. Based on CPV model, the CPI index adjustment and seasonal adjustment are applied to the period from the fourth quarter of 2003 to the second quarter of 2012. The four explanatory variables of CPI,GDP, fixed asset investment and urban per quarter gross income selected by the index are regression analysis of the default rate represented by the non-performing loan rate of commercial banks in China, and the relationship between the non-performing loan ratio and the macroeconomic changes is obtained. The stress test was carried out under the hypothetical scenario. The empirical results show that the four explanatory variables of fixed asset investment and per capita income of CPI,GDP, can explain the macroeconomic index Y which is converted according to the non-performing loan ratio after the adjustment of CPI index and seasonal adjustment. The goodness of fit is more than 95, which further illustrates the validity and applicability of CPV model in the study of credit risk measurement of commercial banks in China. Among them, the CPI,GDP, fixed assets investment three indexes to the bad loan influence is bigger. The relationship between default rate and CPI is positive. The relationship between fixed asset investment and non-performing loan ratio is reversed, which is in line with the objective economic situation. The model establishes the relationship between the credit risk and the macroeconomic situation of commercial banks, which is represented by the non-performing loan ratio, and accords with the understanding that the macroeconomic situation will affect the credit risk. It can provide some decision-making reference for supervision department and bank credit risk management department, which has certain practical significance. On this basis, some suggestions on credit risk management of Chinese commercial banks are put forward, including cultivating advanced credit culture, establishing a sound internal control system, and establishing a sound credit risk quantification system. Speed up the establishment of the database, improve the processing mechanism of non-performing loans, and increase the input of IT support and personnel training.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33
本文編號(hào)：2210988
[Abstract]:The subprime mortgage crisis broke out in 2007, which turned into a global financial tsunami. The reason is the poor credit risk management of some American banks. The European debt crisis is intensifying and the credit risk of European banks is rising, as is the global banking sector. The traditional credit risk management model can no longer fully meet the needs of the economic and financial environment and the development of the banking industry, comprehensive and effective commercial bank credit risk management model, method, Technology is a subject of great concern to banks in all countries and around the world. Drawing lessons from the risk techniques and methods of developed countries, drawing lessons from other countries in the financial crisis and combining the actual conditions of our country, the paper makes a deep study on the credit risk measurement techniques and management methods of Chinese commercial banks. It not only has considerable theoretical value, but also has great practical significance. Firstly, this paper introduces the background and significance of the research, the review of domestic and foreign research results, the research methods and structure arrangement, and the innovation of this paper. Secondly, it summarizes the credit risk of commercial banks, introduces the basic connotation of credit risk, the present situation of credit risk of commercial banks in China, the basic knowledge of stress testing and the feasibility of credit risk stress test of commercial banks in China. It is pointed out that the commercial banks in our country have some problems, such as the excessive amount of non-performing loans, the increase of real estate credit risk and the unsound risk assessment system. Thirdly, the credit risk measurement model is introduced, the traditional credit risk measurement method is briefly introduced, the comparison of four modern credit risk measurement models based on CPV,KMV,CreditRisk CreditMetrics is given in detail, and the advantages of the CPV model applied in this study and its applicability to the situation of our country are revealed. Then, in the empirical analysis based on CPV model and stress test, the basic principle of CPV model is introduced. Based on CPV model, the CPI index adjustment and seasonal adjustment are applied to the period from the fourth quarter of 2003 to the second quarter of 2012. The four explanatory variables of CPI,GDP, fixed asset investment and urban per quarter gross income selected by the index are regression analysis of the default rate represented by the non-performing loan rate of commercial banks in China, and the relationship between the non-performing loan ratio and the macroeconomic changes is obtained. The stress test was carried out under the hypothetical scenario. The empirical results show that the four explanatory variables of fixed asset investment and per capita income of CPI,GDP, can explain the macroeconomic index Y which is converted according to the non-performing loan ratio after the adjustment of CPI index and seasonal adjustment. The goodness of fit is more than 95, which further illustrates the validity and applicability of CPV model in the study of credit risk measurement of commercial banks in China. Among them, the CPI,GDP, fixed assets investment three indexes to the bad loan influence is bigger. The relationship between default rate and CPI is positive. The relationship between fixed asset investment and non-performing loan ratio is reversed, which is in line with the objective economic situation. The model establishes the relationship between the credit risk and the macroeconomic situation of commercial banks, which is represented by the non-performing loan ratio, and accords with the understanding that the macroeconomic situation will affect the credit risk. It can provide some decision-making reference for supervision department and bank credit risk management department, which has certain practical significance. On this basis, some suggestions on credit risk management of Chinese commercial banks are put forward, including cultivating advanced credit culture, establishing a sound internal control system, and establishing a sound credit risk quantification system. Speed up the establishment of the database, improve the processing mechanism of non-performing loans, and increase the input of IT support and personnel training.
【學(xué)位授予單位】：吉林大學(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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本文編號(hào)：2210988
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