本文選題：信用風險限額 + 經濟資本�。� 參考：《山東大學》2012年碩士論文

【摘要】：銀行是經營風險的企業(yè),承擔風險是銀行存在之源,管理風險是銀行生存之本,中國農業(yè)銀行2010年4月公布了董事會通過的以實施新資本協(xié)議為主線的首份全面風險管理體系規(guī)劃,這標志著農行在強化全面風險管理上邁出了關鍵性步伐,該規(guī)劃對農行未來三年全面風險管理工作作出框架性安排,總體目標是在未來三年,以實施巴塞爾新資本協(xié)議為主線,建立適應現(xiàn)代商業(yè)銀行需要的全面風險管理體系。信用風險管理作為全面風險管理的重要組成部分,是解決銀行資本的有限性與業(yè)務發(fā)展無限性之間矛盾的有效工具,是合理配置資源、提高銀行資產組合收益的關鍵。信用風險限額管理是信用風險管理的重要手段,代表了銀行在信貸業(yè)務中所能容忍的最大風險額度,它是一種基于風險計量的管理模式,是銀行經營戰(zhàn)略、政策導向及資本配置的綜合體現(xiàn),是外部監(jiān)管的要求,更是信用風險管理精細化的發(fā)展方向,綜合體現(xiàn)了銀行的經營戰(zhàn)略、政策導向以及資本配置,代表了當今信用風險管理的專業(yè)化、精細化和系統(tǒng)化發(fā)展方向。 本文認為,隨著科技不斷進步,農行山東分行的信用風險管理能力逐漸增強,但由于在組織架構、授權管理、信用風險計量、信用風險管理文化方面比較落后,信用風險限額管理沒有執(zhí)行到位,進而得出結論,建立山東農行的信用風險限額管理體系和培育先進信用風險管理文化。 本文主要有如下創(chuàng)新：首先,通過現(xiàn)有農行的風險計量及經濟管理模型,對目前的信用風險限額管理體系豐富完善,對所有信貸經營機構實行客戶、行業(yè)、地域的總量信用風險限額管理；其次,結合信用風險經濟資本管理的知識,控制各行、各行業(yè)信貸投放行為,達到收益覆蓋風險的目的；最后,進一步優(yōu)化現(xiàn)有的授信額度計算公式,并考慮客戶的實際需求。
[Abstract]:Bank is an enterprise operating risk, taking risk is the source of bank existence, management risk is the basis of bank survival. In April 2010, the Agricultural Bank of China announced the first comprehensive risk management system plan adopted by the board of directors to implement the new capital agreement, which marks the key step in strengthening the comprehensive risk management of the Agricultural Bank of China. The plan provides a framework for the overall risk management of the bank in the next three years. The overall goal is to establish a comprehensive risk management system to meet the needs of modern commercial banks in the next three years and to implement the new Basel capital agreement. The effective tool for the contradiction between the limited capital and the unlimited business development is the key to rationally allocate the resources and improve the income of the bank's asset portfolio. The credit risk quota management is an important means of credit risk management, which represents the maximum amount of risk tolerated by the bank in the credit business. It is a management based on the risk measurement. The model is the comprehensive embodiment of bank management strategy, policy orientation and capital allocation. It is the requirement of external supervision and the development direction of credit risk management. It embodies the management strategy, policy orientation and capital allocation of the bank comprehensively, which represents the specialization, refinement and systematization of credit risk management.
With the continuous progress of science and technology, the credit risk management ability of the Shandong branch of the Agricultural Bank of China is gradually strengthened. However, the credit risk limit management is not in place because of the organizational structure, the authorization management, the credit risk measurement, the credit risk management culture, and the credit risk limit management is not in place. Then the credit risk limit of the Shandong Agricultural Bank is set up. Management system and cultivation of advanced credit risk management culture.
This article mainly has the following innovations: first, through the existing agricultural bank's risk measurement and economic management model, the current credit risk quota management system is rich and perfect, and the total credit risk limit management of all credit management institutions is carried out by customers, industries and regions. Secondly, the knowledge of the credit risk economic capital management is used to control the various types of credit risk. In the end, we will further optimize the existing formula for the credit line and consider the actual needs of the customers.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.2

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本文編號：2098880