本文選題：信用風(fēng)險(xiǎn) + 信用風(fēng)險(xiǎn)評(píng)價(jià)��； 參考：《大連理工大學(xué)》2014年博士論文

【摘要】：中小商業(yè)銀行信用風(fēng)險(xiǎn)評(píng)價(jià)是對(duì)中小商業(yè)銀行當(dāng)前償付其金融債務(wù)的總體金融能力的評(píng)價(jià),在對(duì)中小商業(yè)銀行信用風(fēng)險(xiǎn)狀況進(jìn)行全面分析的基礎(chǔ)上,對(duì)其整體資產(chǎn)質(zhì)量、資本充足、盈利狀況、流動(dòng)性風(fēng)險(xiǎn)等內(nèi)部風(fēng)險(xiǎn)因素和所面臨的外部風(fēng)險(xiǎn)進(jìn)行綜合測(cè)評(píng)。為銀行樹(shù)立穩(wěn)健形象、拓展業(yè)務(wù)、降低交易成本、提高市場(chǎng)競(jìng)爭(zhēng)力提供了一種重要策略和手段。 本論文共分六章。第一章分析論文選題背景、國(guó)內(nèi)外研究進(jìn)展、研究方法、研究的技術(shù)路線和研究?jī)?nèi)容。第二章論述中小商業(yè)銀行信用風(fēng)險(xiǎn)特點(diǎn)與影響因素。第三章構(gòu)建中小商業(yè)銀行信用風(fēng)險(xiǎn)評(píng)價(jià)指標(biāo)體系。第四章建立基于理想?yún)^(qū)間的TOPSIS組合評(píng)價(jià)模型。第五章選取14家中小商業(yè)銀行進(jìn)行實(shí)證分析并建立中小商業(yè)銀行信用風(fēng)險(xiǎn)評(píng)價(jià)標(biāo)準(zhǔn)。第六章為結(jié)論與展望。論文的主要工作如下： (1)構(gòu)建了包含銀行內(nèi)外部影響因素的中小商業(yè)銀行信用風(fēng)險(xiǎn)評(píng)價(jià)指標(biāo)體系。通過(guò)指標(biāo)相關(guān)系數(shù)對(duì)同一準(zhǔn)則層下任意兩個(gè)指標(biāo)間的相關(guān)性強(qiáng)弱進(jìn)行比較,通過(guò)指標(biāo)復(fù)相關(guān)系數(shù)對(duì)單個(gè)指標(biāo)與全部指標(biāo)的相似程度進(jìn)行比較,并根據(jù)相關(guān)系數(shù)和復(fù)相關(guān)系數(shù)的閾值對(duì)指標(biāo)進(jìn)行篩選,剔除了信息重復(fù)的指標(biāo),確保了利用較少的指標(biāo)能夠全面反映海選指標(biāo)集的原始信息,保證了篩選后指標(biāo)體系信息的完整性。同時(shí)利用專家知識(shí)經(jīng)驗(yàn)對(duì)客觀方法篩選后的相關(guān)指標(biāo)進(jìn)行增補(bǔ)和刪減,進(jìn)而建立了包含16個(gè)內(nèi)部因素評(píng)價(jià)指標(biāo)和8個(gè)外部因素評(píng)價(jià)指標(biāo)的中小銀行信用風(fēng)險(xiǎn)評(píng)價(jià)指標(biāo)體系,充分反映了銀行自身信用風(fēng)險(xiǎn)狀況水平,同時(shí)又體現(xiàn)了外部經(jīng)營(yíng)環(huán)境對(duì)其信用風(fēng)險(xiǎn)狀況的影響,解決了現(xiàn)有研究評(píng)價(jià)指標(biāo)體系不具有中小商業(yè)銀行特點(diǎn),且僅僅側(cè)重于銀行自身經(jīng)營(yíng)指標(biāo)情況,卻忽略經(jīng)營(yíng)環(huán)境的地域特性對(duì)其信用風(fēng)險(xiǎn)的影響致使評(píng)價(jià)結(jié)果不合理的問(wèn)題。 (2)建立了基于理想?yún)^(qū)間TOPSIS組合評(píng)價(jià)模型。利用36原則構(gòu)建指標(biāo)正負(fù)理想?yún)^(qū)間,取代依據(jù)最大值和最小值確定評(píng)價(jià)指標(biāo)正負(fù)理想,實(shí)現(xiàn)了對(duì)個(gè)體差異性較大的奇異值評(píng)價(jià)指標(biāo)數(shù)據(jù)進(jìn)行平滑,有效消除了指標(biāo)異常值對(duì)評(píng)價(jià)結(jié)果的影響,通過(guò)將區(qū)間數(shù)引入TOPSIS評(píng)價(jià)模型,改進(jìn)了TOPSIS評(píng)價(jià)方法,建立了基于區(qū)間TOPSIS組合評(píng)價(jià)模型,解決了因指標(biāo)數(shù)據(jù)奇異值導(dǎo)致現(xiàn)有評(píng)價(jià)模型無(wú)法進(jìn)行評(píng)價(jià)的問(wèn)題,確保了評(píng)價(jià)結(jié)果的合理性,提高了評(píng)價(jià)結(jié)果的可信度。 (3)提出了基于Theil系數(shù)組合賦權(quán)方法。利用Theil系數(shù)構(gòu)建了AHP法、變異系數(shù)法、均值方差、熵權(quán)法四種單一評(píng)價(jià)方法的組合優(yōu)化模型,確定了四種單一評(píng)價(jià)方法的加權(quán)系數(shù),利用加權(quán)系數(shù)得到評(píng)價(jià)指標(biāo)的組合權(quán)重。組合權(quán)重綜合了主觀和客觀賦權(quán)方法的優(yōu)點(diǎn),充分反映專家知識(shí)經(jīng)驗(yàn)和指標(biāo)數(shù)據(jù)真實(shí)信息,解決了單一主觀賦權(quán)方法具有較強(qiáng)的主觀性和隨意性,以及客觀賦權(quán)方法極度依賴樣本數(shù)據(jù)而導(dǎo)致評(píng)價(jià)結(jié)果不可比的問(wèn)題。 (4)在實(shí)證研究的基礎(chǔ)上對(duì)中小商業(yè)銀行評(píng)價(jià)結(jié)果進(jìn)行等級(jí)劃分。通過(guò)實(shí)證研究和Spearman秩相關(guān)系數(shù)驗(yàn)證了基于理想?yún)^(qū)間TOPSIS組合評(píng)價(jià)模型和基于Theil系數(shù)組合賦權(quán)方法的科學(xué)有效性。根據(jù)評(píng)價(jià)排序結(jié)果,利用評(píng)級(jí)機(jī)構(gòu)主標(biāo)尺不同級(jí)的區(qū)間長(zhǎng)度和跳躍幅度,以基準(zhǔn)級(jí)別為中心,分別以一定的增速(或減速)向上下兩個(gè)方向展開(kāi),并依據(jù)評(píng)價(jià)結(jié)果的離散度對(duì)評(píng)級(jí)標(biāo)準(zhǔn)各級(jí)別的增減速進(jìn)行了適度修正,建立了違約概率與信用風(fēng)險(xiǎn)綜合評(píng)價(jià)結(jié)果貼近度之間的映射關(guān)系,對(duì)中小商業(yè)銀行進(jìn)行合理的等級(jí)劃分。
[Abstract]:Credit risk evaluation of small and medium commercial banks is an evaluation of the overall financial ability of small and medium-sized commercial banks to pay their financial debts. On the basis of a comprehensive analysis of the credit risk status of small and medium commercial banks, the internal risk factors such as the overall assets quality, capital adequacy, profit status, liquidity risk and other internal risk factors and the external factors facing the small commercial banks are faced with. Comprehensive risk assessment provides an important strategy and means for banks to establish a healthy image, expand business, reduce transaction costs and enhance market competitiveness.
This paper is divided into six chapters. The first chapter analyzes the background of topic selection, research progress at home and abroad, research methods, research technical route and research content. The second chapter discusses the characteristics and influencing factors of credit risk of small and medium-sized commercial banks. The third chapter constructs the index system of credit risk assessment for small and medium-sized commercial banks. The fourth chapter establishes TOPS based on the ideal interval. IS combined evaluation model. The fifth chapter selects 14 small and medium commercial banks to carry out empirical analysis and establish credit risk assessment standards for small and medium-sized commercial banks. The sixth chapter is the conclusion and prospect. The main work of this paper is as follows:
(1) the credit risk evaluation index system of small and medium commercial banks including the internal and external factors of the bank is constructed. Through the index correlation coefficient, the correlation strength between any two indexes under the same standard is compared, and the similarity degree of the single index and the whole index is compared through the index complex correlation coefficient, and the relationship is based on the relationship. The threshold of number and complex correlation coefficient is screened, the index of information repetition is eliminated, and the original information of the selected index set can be fully reflected and the integrity of the information of the index system after screening is ensured. At the same time, the relevant indexes after the selection of the method are added and deleted by the expert knowledge and experience. In addition, the credit risk evaluation index system of small and medium banks, which includes 16 internal factors evaluation index and 8 external factors evaluation index, has been set up, which fully reflects the bank's own credit risk level and reflects the impact of external operating environment on its credit risk, and has solved the existing research evaluation index system. It has the characteristics of small and medium commercial banks, and only focuses on the bank's own operating indicators, but neglects the influence of the regional characteristics of the operating environment on its credit risk, resulting in the unreasonable evaluation results.
(2) the TOPSIS combination evaluation model based on the ideal interval is established. The 36 principle is used to construct the positive and negative ideal interval of the index, instead of determining the positive and negative ideals of the evaluation index according to the maximum value and the minimum value, and the data of the singular value evaluation index are smoothed and the effect of the index abnormal value on the evaluation results is eliminated. Through the introduction of the interval number to the TOPSIS evaluation model, the TOPSIS evaluation method is improved and the evaluation model based on the interval TOPSIS is established, which solves the problem that the existing evaluation model can not be evaluated because of the singular value of the index data, which ensures the rationality of the evaluation results and improves the reliability of the evaluation result.
(3) a combination weighting method based on the Theil coefficient is proposed. Using the Theil coefficient, the combination optimization model of the four single evaluation methods of AHP, variation coefficient, mean variance and entropy weight is constructed, and the weighting coefficients of the four single evaluation methods are determined, and the weighted coefficients are used to get the combination weight of the evaluation index. The combination weight combines the subjective and the guest. The advantages of the view empowerment method fully reflect the expert knowledge experience and the real information of the index data, and solve the problem that the single subjective empowerment method has strong subjectivity and randomness, and the objective weighting method relies on the sample data extremely, which leads to the problem that the evaluation results are not comparable.
(4) on the basis of empirical research, the evaluation results of small and medium-sized commercial banks are graded. Through the empirical study and the Spearman rank correlation coefficient, the scientific validity of the TOPSIS combination evaluation model based on ideal interval and the method of combination weighting based on the Theil coefficient combination are verified. The length and jump range of the interval are centered on the base level, and they are carried out in two directions at a certain rate of growth (or deceleration). According to the degree of dispersion of the evaluation results, a moderate correction is made to the increase and deceleration of each grade standard. The mapping relationship between the probability of default and the close degree of the comprehensive evaluation results of the credit risk is established. Small commercial banks have a reasonable hierarchy.
【學(xué)位授予單位】：大連理工大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33;F224
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本文編號(hào)：2008435