本文選題：城市商業(yè)銀行　切入點(diǎn)：信用風(fēng)險(xiǎn)　出處：《河北科技大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：城市商業(yè)銀行是中國銀行業(yè)的重要組成部分,但又有其特殊性。其前身是上世紀(jì)80年代設(shè)立的城市信用社。近些年來,城市商業(yè)銀行取得了長足的進(jìn)步和發(fā)展,但隨著宏觀經(jīng)濟(jì)環(huán)境的不斷變動(dòng)、金融行業(yè)的改革不斷深入,城市商業(yè)銀行由于其自身特點(diǎn)和外部環(huán)境的多重影響仍然存在著許多關(guān)系其未來發(fā)展的問題,其中最重要和亟需解決的問題就是信用風(fēng)險(xiǎn)問題。2007年,美國爆發(fā)次貸危機(jī),這次危機(jī)為我們敲醒了警鐘。由于多方面原因的共同影響,最終導(dǎo)致這場金融風(fēng)暴席卷全球。從信用風(fēng)險(xiǎn)管理方面來看,就是由于沒有對宏觀經(jīng)濟(jì)波動(dòng)帶給金融產(chǎn)品的風(fēng)險(xiǎn)進(jìn)行充分有效的認(rèn)識和合理的度量而導(dǎo)致。經(jīng)歷了危機(jī)之后,加強(qiáng)宏觀審慎監(jiān)管的原則成為各國銀行監(jiān)管部門一致達(dá)成共識,也就是說,各國銀行務(wù)必要加強(qiáng)對系統(tǒng)性風(fēng)險(xiǎn)的監(jiān)管,從而使金融系統(tǒng)的穩(wěn)定得到更好的維護(hù)。由于世界各國商業(yè)銀行平穩(wěn)正常的經(jīng)營受到宏觀經(jīng)濟(jì)的波動(dòng)的巨大影響,所以,各類商業(yè)銀行尤其是城市商業(yè)銀行在進(jìn)行風(fēng)險(xiǎn)度量時(shí)都將宏觀經(jīng)濟(jì)因素作為一個(gè)重要的參數(shù)考慮了進(jìn)來。本文以城市商業(yè)銀行信用風(fēng)險(xiǎn)的壓力測試為主題,以先理論方法再實(shí)踐的原則為路線,首先對研究宏觀經(jīng)濟(jì)變動(dòng)下我國城市商業(yè)銀行信用風(fēng)險(xiǎn)的重要性進(jìn)行了闡述;其次,對信用風(fēng)險(xiǎn)的相關(guān)概念及壓力測試的相關(guān)理論方法進(jìn)行了詳細(xì)介紹,其中包括我國城市商業(yè)銀行信用風(fēng)險(xiǎn)的成因及現(xiàn)狀、信用風(fēng)險(xiǎn)度量模型的比較以及壓力測試的概念、分類及流程,并且對宏觀經(jīng)濟(jì)因素與城市商業(yè)銀行信用風(fēng)險(xiǎn)的相關(guān)性進(jìn)行了理論分析;然后,選擇模型所需變量,對所需變量進(jìn)行分析處理,建宏觀壓力測試模型;最后對我國城市商業(yè)銀行的信用風(fēng)險(xiǎn)進(jìn)行實(shí)證研究,即應(yīng)用已得的壓力測試模型,選取兩變量作為情景變量,對其施加不同的壓力,測試在不同壓力情景下我國城市商業(yè)銀行信用風(fēng)險(xiǎn)的變動(dòng)趨勢。結(jié)果顯示,我國城市商業(yè)銀行在受到宏觀經(jīng)濟(jì)惡劣沖擊時(shí),不良貸款率增大,信用風(fēng)險(xiǎn)也隨之顯著增大。經(jīng)分析,我國城市商業(yè)銀行由于其自身的特點(diǎn),存在較大的潛在信用風(fēng)險(xiǎn),這種風(fēng)險(xiǎn)一旦出現(xiàn)將嚴(yán)重影響城市商業(yè)銀行體系的穩(wěn)定,針對于此,本文在文章最后一章提出了一些相應(yīng)的對策建議以防患于未然。
[Abstract]:City commercial bank is an important part of Chinese banking, but it has its particularity. Its predecessor was the city credit cooperative set up in -20s. In recent years, city commercial bank has made great progress and development. However, with the constant change of the macroeconomic environment and the deepening of the reform of the financial industry, there are still many problems related to the future development of the urban commercial banks because of their own characteristics and the multiple influences of the external environment. The most important and urgent problem is the problem of credit risk. In 2007, the subprime mortgage crisis broke out in the United States, and the crisis woke us up. Finally, this financial storm swept the world. From the perspective of credit risk management, it is because of the lack of a fully effective understanding and reasonable measurement of the risks that macroeconomic fluctuations bring to financial products. After the crisis, The principle of strengthening macro-prudential supervision has become a consensus among bank regulators in various countries. That is to say, banks in various countries must strengthen their supervision of systemic risks. As a result, the stability of the financial system is better maintained. Since the smooth and normal operation of commercial banks in various countries is greatly affected by macroeconomic fluctuations, All kinds of commercial banks, especially the city commercial banks, take macroeconomic factors as an important parameter in their risk measurement. Based on the principle of first theory method and then practice, this paper first expounds the importance of studying the credit risk of urban commercial banks under the macroeconomic changes; secondly, This paper introduces the related concepts of credit risk and the related theories and methods of stress test in detail, including the causes and present situation of credit risk of city commercial banks in China, the comparison of credit risk measurement model and the concept of stress test. Classification and process, and the correlation between macroeconomic factors and credit risk of urban commercial banks is analyzed theoretically, and then, the required variables are selected, the required variables are analyzed and treated, and the macro-stress test model is built. Finally, an empirical study on the credit risk of urban commercial banks in China is carried out, that is, applying the obtained stress test model, selecting two variables as situational variables, exerting different pressures on them. The change trend of credit risk of urban commercial banks in China under different pressure scenarios is tested. The results show that the non-performing loan ratio of urban commercial banks increases when they are affected by the adverse macroeconomic impact. The credit risk also increases significantly. The analysis shows that the city commercial banks of our country have bigger potential credit risk because of their own characteristics. Once this kind of risk appears, it will seriously affect the stability of the city commercial bank system. In the last chapter of this paper, some corresponding countermeasures and suggestions are put forward to prevent trouble.
【學(xué)位授予單位】：河北科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.4

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