本文關(guān)鍵詞：臨商銀行信用風(fēng)險(xiǎn)管理研究　出處：《中國(guó)海洋大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 信用風(fēng)險(xiǎn) 巴塞爾新資本協(xié)議 風(fēng)險(xiǎn)評(píng)估 Credit Metrics模型

【摘要】：金融是現(xiàn)代經(jīng)濟(jì)的核心,而銀行業(yè)又在一國(guó)金融系統(tǒng)中占有重要的地位。資產(chǎn)業(yè)務(wù)是商業(yè)銀行的主要業(yè)務(wù),也是信用風(fēng)險(xiǎn)最大集中區(qū)域。因此銀行的信用風(fēng)險(xiǎn)管理是銀行持續(xù)發(fā)展的核心問題,也是銀行競(jìng)爭(zhēng)力的重要體現(xiàn),從巴塞爾協(xié)議訂立之初,銀行的信用風(fēng)險(xiǎn)管理就受到了廣泛的關(guān)注。 本文的主要研究目的是期望通過研究以巴塞爾新資本協(xié)議反映出的銀行信用風(fēng)險(xiǎn)管理發(fā)展趨勢(shì),深入分析國(guó)際銀行業(yè)先進(jìn)的信用風(fēng)險(xiǎn)管理工具和理念,并結(jié)合臨商銀行的實(shí)際,研究新時(shí)期商業(yè)銀行信用風(fēng)險(xiǎn)管理方法,在此基礎(chǔ)上,推動(dòng)新資本協(xié)議下內(nèi)部評(píng)級(jí)法及先進(jìn)信用風(fēng)險(xiǎn)管理模式在臨商銀行的建立,最終建立適應(yīng)臨商銀行信用風(fēng)險(xiǎn)管理狀況的現(xiàn)代管理方法和管理體系。 本文的主要成果是以信用管理為主線,在新資本協(xié)議有關(guān)風(fēng)險(xiǎn)管理的理念和要求的指導(dǎo)下,綜合考慮針對(duì)臨商銀行信用風(fēng)險(xiǎn)管理的現(xiàn)狀,提出了具有實(shí)際參考意義的觀點(diǎn)和思路。本文分析了臨商銀行信用風(fēng)險(xiǎn)的特征和信用風(fēng)險(xiǎn)管理的現(xiàn)狀,這將幫助臨商銀行全方位認(rèn)識(shí)和把握信用風(fēng)險(xiǎn)管理的整體內(nèi)外環(huán)境,在此基礎(chǔ)上借鑒先進(jìn)經(jīng)驗(yàn),設(shè)計(jì)了臨商銀行信用風(fēng)險(xiǎn)管理信息系統(tǒng)、信用風(fēng)險(xiǎn)量化體系和信用風(fēng)險(xiǎn)管理組織體系,這將為新時(shí)期臨商銀行的信用風(fēng)險(xiǎn)管理提供創(chuàng)新性的思路和選擇模式。同時(shí)把Credit Metrics模型引入單筆貸款信用風(fēng)險(xiǎn)分析,對(duì)臨商銀行的模型選擇具有借鑒意義。 本文主要分成了七個(gè)部分。第一部分是本文的導(dǎo)言,介紹了本文的研究背景和意義,國(guó)內(nèi)外的研究現(xiàn)狀,以及本文的思路,研究方法和邏輯框架；第二部分是本文的研究基礎(chǔ)支撐部分,該部分為本文的研究引入了商業(yè)銀行信用風(fēng)險(xiǎn)的概念,明確了研究邊界,并對(duì)商業(yè)銀行信用風(fēng)險(xiǎn)的來源和基本特征進(jìn)行了概括和描述；第三部分是臨商銀行信用風(fēng)險(xiǎn)及其管理的現(xiàn)狀分析,并以羅莊支行的陶瓷類貸款為例闡述了信用風(fēng)險(xiǎn)的特征、產(chǎn)生原因和影響。第四部分從微觀和宏觀兩個(gè)方面對(duì)臨商銀行信用風(fēng)險(xiǎn)產(chǎn)生的原因進(jìn)行了分析；第五部分是基于Credit Metrics模型的單筆貸款信用風(fēng)險(xiǎn)分析,為臨商銀行的模型選擇提供了啟示。第六部分結(jié)合前面的研究分析,根據(jù)巴塞爾協(xié)議的思想和全面風(fēng)險(xiǎn)管理理念,為臨商銀行信用風(fēng)險(xiǎn)管理提出有意義的建議,從信息管理系統(tǒng)的建設(shè)、量化管理體系的完善和管理組織體系的構(gòu)建三個(gè)層面設(shè)計(jì)了臨商銀行信用風(fēng)險(xiǎn)管理的綜合框架體系。第七部分是本文的結(jié)尾部分是對(duì)本文的總結(jié)與未來的展望。
[Abstract]:Finance is the core of modern economy, and banking plays an important role in a country's financial system. Asset business is the main business of commercial banks. Therefore, the credit risk management of banks is the core issue of the sustainable development of banks, but also an important embodiment of the competitiveness of banks, from the beginning of the Basel Accord. The credit risk management of the bank has received extensive attention. The main purpose of this paper is to analyze the advanced credit risk management tools and concepts of the international banking industry through the research on the development trend of bank credit risk management reflected in the Basel New Capital Accord. Combined with the reality of Linshang Bank, this paper studies the credit risk management methods of commercial banks in the new period, and on this basis, promotes the establishment of internal rating method and advanced credit risk management model under the new capital agreement in Linshang Bank. Finally, a modern management method and management system adapted to the credit risk management of Linshang Bank is established. The main achievement of this paper is to take credit management as the main line, under the guidance of the new capital agreement related risk management idea and request, the comprehensive consideration is aimed at the current situation of the credit risk management of the Linshang bank. This paper analyzes the characteristics of credit risk and the current situation of credit risk management in commercial banks. This will help Linshang Bank to understand and grasp the overall internal and external environment of credit risk management. On the basis of this, the paper designs the credit risk management information system of Linshang Bank based on advanced experience. Credit risk quantification system and credit risk management organization system. This will provide the innovative thinking and choice mode for the credit risk management of Linshang Bank in the new period. At the same time, the Credit Metrics model will be introduced into the credit risk analysis of single loan. It can be used for reference to select the model of Linshang Bank. This paper is divided into seven parts. The first part is the introduction of this paper, which introduces the research background and significance, domestic and foreign research status, as well as the train of thought, research methods and logical framework of this paper; The second part is the basic support part of this paper. This part introduces the concept of credit risk of commercial banks and clarifies the research boundary for the research of this paper. The source and basic characteristics of commercial bank credit risk are summarized and described. The third part is the Linshang Bank credit risk and its management of the status quo analysis, and Luozhuang Branch of ceramic loans as an example to illustrate the characteristics of credit risk. Part 4th analyzes the causes of credit risk of commercial banks from micro and macro aspects; The 5th part is the credit risk analysis of single loan based on the Credit Metrics model, which provides the inspiration for the model selection of the commercial bank. 6th part combined with the previous research and analysis. According to the idea of Basel Accord and the concept of overall risk management, this paper puts forward some meaningful suggestions for the credit risk management of commercial banks from the construction of information management system. The improvement of quantitative management system and the construction of management organization system have designed the comprehensive framework system of credit risk management of Linshang Bank. Part 7th is the conclusion of this paper and the prospect of the future.
【學(xué)位授予單位】：中國(guó)海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.33

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