KMV模型在我國商業(yè)銀行度量上市公司信用風(fēng)險中的適用性研究
發(fā)布時間：2018-07-26 12:47
【摘要】：美國次貸危機引發(fā)的全球金融危機給世界各國的經(jīng)濟發(fā)展帶來了很大的沖擊,銀行業(yè)開始關(guān)注信用風(fēng)險的系統(tǒng)性影響,開始從外部的監(jiān)管和銀行內(nèi)部的管理來提高商業(yè)銀行的信用風(fēng)險管理能力。商業(yè)銀行作為融資中介,在國民經(jīng)濟發(fā)展過程中有著很重要的支撐作用；信用風(fēng)險管理作為商業(yè)銀行風(fēng)險管理中很重要的一部分,其理論研究和實證研究都得到國內(nèi)外學(xué)者的關(guān)注。我國銀行業(yè)在巴塞爾協(xié)議監(jiān)管要求下,結(jié)合我國的具體情況,制定了《商業(yè)銀行風(fēng)險監(jiān)管核心指標》,其中,對信用風(fēng)險的監(jiān)管指標主要有不良資產(chǎn)率、單一集團客戶授信集中度、全部關(guān)聯(lián)度三類指標,我國商業(yè)銀行的信用風(fēng)險管理需滿足相關(guān)指標的要求。我國商業(yè)銀行的發(fā)展面臨嚴峻的外部環(huán)境。首先,經(jīng)濟發(fā)展步入“新常態(tài)”,出現(xiàn)產(chǎn)能過剩企業(yè)和“僵尸企業(yè)”,這些企業(yè)的貸款成為銀行的不良貸款。通過對商業(yè)銀行的不良貸款余額、不良貸款率、撥備率,以及不良貸款的行業(yè)分布情況進行分析可知,我國商業(yè)銀行不良貸款余額和不良貸款率均不斷上升；從行業(yè)分布來看,不良貸款余額占比比較大和不良貸款率比較高的行業(yè)是制造業(yè)、批發(fā)和零售業(yè)、農(nóng)林牧漁業(yè)、房地產(chǎn)業(yè)、建筑業(yè)和采礦業(yè)。其次,在互聯(lián)網(wǎng)+時代,各種互聯(lián)網(wǎng)金融平臺的不斷涌現(xiàn),面對資源和渠道的分流,商業(yè)銀行需要在風(fēng)險可控的情況下進行戰(zhàn)略轉(zhuǎn)型。最后,人民幣加入SDR之后,我國商業(yè)銀行尤其是跨國經(jīng)營的商業(yè)銀行將面臨更加復(fù)雜的國際金融環(huán)境。我國經(jīng)濟體制的特殊性,使我國商業(yè)銀行的信用風(fēng)險具有信用風(fēng)險的一般性特征,也具有其特殊性。我國在信用風(fēng)險定性分析方面的理論研究已經(jīng)相對比較成熟,而在信用風(fēng)險度量方面的研究相對薄弱。受國外信用風(fēng)險度量理論的影響,我國也開始研究風(fēng)險度量的方法。首先是學(xué)者對國外信用風(fēng)險度量理論和模型的引進和學(xué)習(xí),包括傳統(tǒng)的信用風(fēng)險度量模型和現(xiàn)代信用風(fēng)險度量模型。其次是對國外信用風(fēng)險度量模型在我國的適用性研究,主要運用實證研究的方法進行檢驗,既包括對原始模型的適用性分析,也包括對修正模型的有效性檢驗�？紤]到我國市場經(jīng)濟的發(fā)展情況以及企業(yè)違約數(shù)據(jù)庫的現(xiàn)狀,目前,很多學(xué)者認為,KMV模型在我國的適用性最強,可以作為商業(yè)銀行衡量企業(yè)信用風(fēng)險的一種方法。本文就是在結(jié)合我國商業(yè)銀行所處的經(jīng)濟環(huán)境以及當前商業(yè)銀行不良貸款詳細狀況的基礎(chǔ)上,先對我國商業(yè)銀行自身的信用風(fēng)險情況進行分析,然后基于KMV模型對我國商業(yè)銀行衡量企業(yè)信用風(fēng)險進行行業(yè)定量分析,通過得出行業(yè)的違約距離和違約概率橫向比較行業(yè)信用風(fēng)險的大小,意圖通過將實證得到的定量結(jié)果與銀行不良貸款的行業(yè)分布特征對比,驗證定性和定量分析是否一致；同時,通過對2013年和2014年違約距離和違約概率的縱向?qū)Ρ?探究同一公司、同一行業(yè)信用風(fēng)險的變化趨勢,看其是否與經(jīng)濟走走勢的預(yù)期一致。定性與定量結(jié)合,橫向?qū)Ρ扰c縱向?qū)Ρ冉Y(jié)合,運用這些方法進一步可以驗證KMV模型的有效性。然后基于KMV模型對我國商業(yè)銀行對上市公司進行信用風(fēng)險度量提供實踐建議。本文文章共六個部分：第一部分首先提出了文章研究的背景,既包括國內(nèi)的宏觀經(jīng)濟環(huán)境和銀行自身所面臨的內(nèi)部及外部的壓力,也包括復(fù)雜的國際金融環(huán)境。從銀行自身穩(wěn)健發(fā)展的角度,并結(jié)合銀行自所處的經(jīng)濟地位,本文從各方面分析了本文研究的意義。之后對國內(nèi)外關(guān)于信用風(fēng)險度量的理論和實證研究進行了文獻綜述,梳理了學(xué)者的研究成果,以便更好地開展后文的研究。第二部分介紹了商業(yè)銀行的面臨的各種風(fēng)險,并詳細闡述了商業(yè)銀行信用風(fēng)險的概念、特征等。第三部分介紹了我國商業(yè)銀行當前的不良貸款情況。根據(jù)我國商業(yè)銀行的監(jiān)管指標,對我國商業(yè)銀行目前的不良貸款狀況以及不良貸款的行業(yè)分布情況進行了描述性統(tǒng)計,并進行定性分析。同時,對于商業(yè)銀行不良貸款之所以會進一步加大的原因進行了分析,既包括經(jīng)濟順周期的效應(yīng),也包括其他機構(gòu)的競爭壓力和自身戰(zhàn)略轉(zhuǎn)型的風(fēng)險。第四部分是在定性分析的基礎(chǔ)上,提出對貸款對象的信用風(fēng)險進行度量,并對信用風(fēng)險度量模型進行簡單的闡述和比較分析。內(nèi)容包括對內(nèi)部評級法的相關(guān)介紹以及對古典信用風(fēng)險度量方法和現(xiàn)代信用風(fēng)險度量模型的理論介紹,涵蓋模型的理論基礎(chǔ)、使用范圍、優(yōu)缺點等。然后根據(jù)我國當前的市場經(jīng)濟發(fā)展現(xiàn)狀,認為KMV模型比較具有適用性。之后,對KMV模型進行詳細的理論闡述,包括理論依據(jù)、理論假設(shè)、模型的實證研究方法等,為下文進行實證研究做鋪墊。第五部分是實證分析。實證分析的目的是在定性分析的基礎(chǔ)上,從分行業(yè)的角度對信用風(fēng)險進行定量分析,運用KMV模型,用實證檢驗的方法,一方面驗證KMV模型的適用性和有效性,另一方面,驗證度量結(jié)果是否與之前的定性結(jié)果一致。數(shù)據(jù)選擇分為兩部分,均來自Wind數(shù)據(jù)庫,一部分是選取滬深A(yù)股的ST公司和非ST公司共30家,另一部分,為了進行行業(yè)信用風(fēng)險的比較,在2013年和2014年分別選取89個樣本,并運用Excel、Matlab等數(shù)學(xué)工具對數(shù)據(jù)進行處理和對方程進行求解,得出資產(chǎn)價值和波動率,進一步求解各個公司的違約距離和理論違約概率,通過比較違約距離和違約概率的大小,比較它們的信用風(fēng)險。最后,通過分析上市公司商業(yè)銀行貸款數(shù)據(jù),考察商業(yè)銀行放貸利率與實證結(jié)果之間的關(guān)系。實證得出的結(jié)論是：同一行業(yè)的ST公司和非ST公司的信用風(fēng)險狀況存在差異；不同行業(yè)的信用風(fēng)險狀況存在差異；上市公司信用質(zhì)量的變化和宏觀經(jīng)濟走勢是一致的；實證結(jié)果表示違約風(fēng)險大小與現(xiàn)實中商業(yè)銀行對上市企業(yè)的放貸利率高低具有一致性。結(jié)合定性和定量分析,KMV模型在商業(yè)銀行信用風(fēng)險度量中具有適用性。第六部分是在本文理論和實證研究的基礎(chǔ)上對加強我國商業(yè)銀行信用風(fēng)險度量提出相關(guān)建議,分別從外部環(huán)境建設(shè)方面和商業(yè)銀行的角度進行對應(yīng)分析,包括加強社會信用體系建設(shè),加強資本市場建設(shè)；商業(yè)銀行需要提高風(fēng)險識別能力,加強數(shù)據(jù)庫建設(shè)；積極學(xué)習(xí)國外先進的信用風(fēng)險度量模型,在此基礎(chǔ)上探索適合商業(yè)銀行的信用風(fēng)險度量模型。
[Abstract]:The global financial crisis caused by the American subprime crisis has brought great impact on the economic development of all countries in the world. The banking industry began to pay attention to the systematic influence of credit risk, and began to improve the credit risk management ability of commercial banks from external supervision and internal management of banks. As a financing intermediary, commercial banks have developed in the national economy. The management of credit risk is a very important part of the risk management of commercial banks. The theoretical research and Empirical Study of the credit risk management have been paid attention to both domestic and foreign scholars. Under the requirements of Basel agreement supervision, China's banking industry has formulated the core of the risk supervision of commercial banks. Among them, the regulatory index of credit risk mainly includes the rate of bad assets, the concentration degree of the single group customer credit and the three kinds of index. The credit risk management of the commercial banks of our country needs to meet the requirements of the related indexes. Through the analysis of the non-performing loan balance, the bad loan rate, the reserve rate and the distribution of the non-performing loans, we can see that the ungood loan balance and the bad loan rate of the commercial banks in our country are rising continuously; In terms of industry distribution, industries with relatively large ratio of non-performing loans and higher rate of non-performing loans are manufacturing, wholesale and retail, agriculture, forestry, animal husbandry, real estate, construction and mining. Secondly, in the Internet + era, various Internet Financial platforms are constantly emerging, and the commercial banks need to be at risk in the face of the diversion of resources and channels. Under the controllable circumstances, the strategic transformation is carried out. Finally, after the RMB entry into the SDR, China's commercial banks, especially the transnational commercial banks, will face a more complex international financial environment. The particularity of our economic system makes the credit risk of the commercial banks of our country have the general characteristics of the credit risk, and also have their particularity. The theoretical research on the qualitative analysis of credit risk is relatively mature, and the research on the credit risk measurement is relatively weak. Influenced by the foreign credit risk measurement theory, China has also begun to study the method of risk measurement. First, the introduction and study of the foreign credit risk degree theory and model, including the tradition, are the traditional scholars. The credit risk measurement model and the modern credit risk measurement model. Secondly, the research on the applicability of foreign credit risk measurement model in China, mainly using empirical research methods, including the applicability of the original model and the validity of the revised model, considering the development of China's market economy. At present, many scholars believe that the KMV model has the strongest applicability in our country. It can be used as a way to measure the credit risk of the business bank. This article is based on the economic environment of commercial banks in China and the detailed condition of the current non-performing loans of commercial banks. The credit risk of China's commercial banks is analyzed, and then based on the KMV model, the quantitative analysis of the business credit risk of the commercial banks in China is carried out. By comparing the trade default distance and the probability of breach of contract, the trade credit risk is compared horizontally. Compare the distribution characteristics of the industry, verify the consistency of qualitative and quantitative analysis. At the same time, through the longitudinal comparison of the default distance and the probability of default in 2013 and 2014, explore the trend of the same company, the same industry credit risk change, see whether it is consistent with the economic trend, qualitative and quantitative combination, horizontal contrast and longitudinal In contrast, these methods can be used to further verify the effectiveness of the KMV model. Then based on the KMV model, it provides practical suggestions for the credit risk measurement of Chinese commercial banks to listed companies. This article has six parts: the first part first put forward the background of the study, including both the domestic macro-economic environment and the bank. The internal and external pressures faced by themselves include complex international financial environment. From the perspective of the stable development of the bank and the economic status of the bank, this paper analyzes the significance of this study from all aspects. The second part introduces the risks faced by commercial banks and expounds the concept and characteristics of commercial banks' credit risk in detail. The third part introduces the current situation of non-performing loans in China's commercial banks. The present situation of non-performing loans and the distribution of non-performing loans of the commercial banks of the country are descriptive statistics and qualitative analysis. At the same time, the reasons for the further increase of the non-performing loans of commercial banks are analyzed, including the effect of the economic CIS cycle and the competition pressure of other institutions and their own war. The fourth part is to measure the credit risk of the loan object on the basis of qualitative analysis, and to make a simple exposition and comparative analysis on the credit risk measurement model. The content includes the introduction of the internal rating method, the classical credit risk measurement method and the modern credit risk measurement model. It covers the theoretical basis, the scope of use, the advantages and disadvantages of the model, and then according to the current situation of the development of the market economy in China, the KMV model is more applicable. Then, the KMV model is expounded in detail, including the theoretical basis, the theoretical hypothesis, the empirical research method of the model type and so on. The fifth part is an empirical analysis. The purpose of the empirical analysis is to analyze the credit risk quantitatively on the basis of qualitative analysis, using the KMV model and the empirical test method, on the one hand, to verify the applicability and effectiveness of the KMV model, and on the other hand, to verify whether the measurement results are in agreement with the previous qualitative results. The data selection is divided into two parts, all of which are from the Wind database, and some are the 30 ST companies of Shanghai and Shenzhen stock A and the non ST companies. In the other part, in order to compare the industry credit risk, 89 samples are selected in 2013 and 2014 respectively, and the data are processed and the equations are solved by using the mathematical tools such as Excel and Matlab. Asset value and volatility, further solve the default distance and theoretical breach probability of each company, compare their credit risk by comparing the distance of default and the probability of default. Finally, through the analysis of the loan data of the commercial banks of the listed companies, the relationship between the interest rate of commercial banks and the empirical results is investigated. The conclusion is that there are differences in credit risk status between ST company and non ST company in the same industry; there are differences in credit risk in different industries; the change of credit quality of listed companies is consistent with macroeconomic trend; the empirical results indicate that the size of default risk and the lending rate of commercial banks to listed companies are high and low. With the consistency. Combining qualitative and quantitative analysis, the KMV model is applicable in the credit risk measurement of commercial banks. The sixth part is on the basis of the theoretical and Empirical Study of this paper to put forward some suggestions on strengthening the credit risk measurement of commercial banks in China, respectively, from the external environment construction and commercial banks' point of view. It includes strengthening the construction of the social credit system and strengthening the construction of the capital market; the commercial banks need to improve the risk identification ability and strengthen the database construction, actively study the advanced foreign credit risk measurement model, and explore the credit risk measurement model suitable for commercial banks on this basis.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.33
本文編號：2146058
[Abstract]:The global financial crisis caused by the American subprime crisis has brought great impact on the economic development of all countries in the world. The banking industry began to pay attention to the systematic influence of credit risk, and began to improve the credit risk management ability of commercial banks from external supervision and internal management of banks. As a financing intermediary, commercial banks have developed in the national economy. The management of credit risk is a very important part of the risk management of commercial banks. The theoretical research and Empirical Study of the credit risk management have been paid attention to both domestic and foreign scholars. Under the requirements of Basel agreement supervision, China's banking industry has formulated the core of the risk supervision of commercial banks. Among them, the regulatory index of credit risk mainly includes the rate of bad assets, the concentration degree of the single group customer credit and the three kinds of index. The credit risk management of the commercial banks of our country needs to meet the requirements of the related indexes. Through the analysis of the non-performing loan balance, the bad loan rate, the reserve rate and the distribution of the non-performing loans, we can see that the ungood loan balance and the bad loan rate of the commercial banks in our country are rising continuously; In terms of industry distribution, industries with relatively large ratio of non-performing loans and higher rate of non-performing loans are manufacturing, wholesale and retail, agriculture, forestry, animal husbandry, real estate, construction and mining. Secondly, in the Internet + era, various Internet Financial platforms are constantly emerging, and the commercial banks need to be at risk in the face of the diversion of resources and channels. Under the controllable circumstances, the strategic transformation is carried out. Finally, after the RMB entry into the SDR, China's commercial banks, especially the transnational commercial banks, will face a more complex international financial environment. The particularity of our economic system makes the credit risk of the commercial banks of our country have the general characteristics of the credit risk, and also have their particularity. The theoretical research on the qualitative analysis of credit risk is relatively mature, and the research on the credit risk measurement is relatively weak. Influenced by the foreign credit risk measurement theory, China has also begun to study the method of risk measurement. First, the introduction and study of the foreign credit risk degree theory and model, including the tradition, are the traditional scholars. The credit risk measurement model and the modern credit risk measurement model. Secondly, the research on the applicability of foreign credit risk measurement model in China, mainly using empirical research methods, including the applicability of the original model and the validity of the revised model, considering the development of China's market economy. At present, many scholars believe that the KMV model has the strongest applicability in our country. It can be used as a way to measure the credit risk of the business bank. This article is based on the economic environment of commercial banks in China and the detailed condition of the current non-performing loans of commercial banks. The credit risk of China's commercial banks is analyzed, and then based on the KMV model, the quantitative analysis of the business credit risk of the commercial banks in China is carried out. By comparing the trade default distance and the probability of breach of contract, the trade credit risk is compared horizontally. Compare the distribution characteristics of the industry, verify the consistency of qualitative and quantitative analysis. At the same time, through the longitudinal comparison of the default distance and the probability of default in 2013 and 2014, explore the trend of the same company, the same industry credit risk change, see whether it is consistent with the economic trend, qualitative and quantitative combination, horizontal contrast and longitudinal In contrast, these methods can be used to further verify the effectiveness of the KMV model. Then based on the KMV model, it provides practical suggestions for the credit risk measurement of Chinese commercial banks to listed companies. This article has six parts: the first part first put forward the background of the study, including both the domestic macro-economic environment and the bank. The internal and external pressures faced by themselves include complex international financial environment. From the perspective of the stable development of the bank and the economic status of the bank, this paper analyzes the significance of this study from all aspects. The second part introduces the risks faced by commercial banks and expounds the concept and characteristics of commercial banks' credit risk in detail. The third part introduces the current situation of non-performing loans in China's commercial banks. The present situation of non-performing loans and the distribution of non-performing loans of the commercial banks of the country are descriptive statistics and qualitative analysis. At the same time, the reasons for the further increase of the non-performing loans of commercial banks are analyzed, including the effect of the economic CIS cycle and the competition pressure of other institutions and their own war. The fourth part is to measure the credit risk of the loan object on the basis of qualitative analysis, and to make a simple exposition and comparative analysis on the credit risk measurement model. The content includes the introduction of the internal rating method, the classical credit risk measurement method and the modern credit risk measurement model. It covers the theoretical basis, the scope of use, the advantages and disadvantages of the model, and then according to the current situation of the development of the market economy in China, the KMV model is more applicable. Then, the KMV model is expounded in detail, including the theoretical basis, the theoretical hypothesis, the empirical research method of the model type and so on. The fifth part is an empirical analysis. The purpose of the empirical analysis is to analyze the credit risk quantitatively on the basis of qualitative analysis, using the KMV model and the empirical test method, on the one hand, to verify the applicability and effectiveness of the KMV model, and on the other hand, to verify whether the measurement results are in agreement with the previous qualitative results. The data selection is divided into two parts, all of which are from the Wind database, and some are the 30 ST companies of Shanghai and Shenzhen stock A and the non ST companies. In the other part, in order to compare the industry credit risk, 89 samples are selected in 2013 and 2014 respectively, and the data are processed and the equations are solved by using the mathematical tools such as Excel and Matlab. Asset value and volatility, further solve the default distance and theoretical breach probability of each company, compare their credit risk by comparing the distance of default and the probability of default. Finally, through the analysis of the loan data of the commercial banks of the listed companies, the relationship between the interest rate of commercial banks and the empirical results is investigated. The conclusion is that there are differences in credit risk status between ST company and non ST company in the same industry; there are differences in credit risk in different industries; the change of credit quality of listed companies is consistent with macroeconomic trend; the empirical results indicate that the size of default risk and the lending rate of commercial banks to listed companies are high and low. With the consistency. Combining qualitative and quantitative analysis, the KMV model is applicable in the credit risk measurement of commercial banks. The sixth part is on the basis of the theoretical and Empirical Study of this paper to put forward some suggestions on strengthening the credit risk measurement of commercial banks in China, respectively, from the external environment construction and commercial banks' point of view. It includes strengthening the construction of the social credit system and strengthening the construction of the capital market; the commercial banks need to improve the risk identification ability and strengthen the database construction, actively study the advanced foreign credit risk measurement model, and explore the credit risk measurement model suitable for commercial banks on this basis.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.33
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相關(guān)期刊論文 前10條
1 楊秀云;蔣園園;段珍珍;;KMV模型在我國商業(yè)銀行信用風(fēng)險管理中的適用性分析及實證檢驗[J];財經(jīng)理論與實踐;2016年01期
2 李江;張春霖;;基于KMV模型的我國商業(yè)銀行信用風(fēng)險探析[J];青海金融;2015年09期
3 李丹然;;基于KMV模型研究商業(yè)銀行對中小企業(yè)信用風(fēng)險評級的改進[J];中小企業(yè)管理與科技(下旬刊);2015年08期
4 劉珍珍;朱衛(wèi)東;李玲玲;;KMV模型中資產(chǎn)價值增長率的修正研究[J];財會通訊;2015年15期
5 商旭;;商業(yè)銀行中順周期性現(xiàn)象及對我國的啟示[J];新經(jīng)濟;2015年14期
6 楊開宇;;修正KMV模型在創(chuàng)業(yè)板上市公司信用風(fēng)險度量中的應(yīng)用分析[J];西部金融;2015年05期
7 田衛(wèi)國;;商業(yè)銀行信用風(fēng)險度量方法演進及借鑒[J];中國市場;2015年08期
8 張雨龍;;在美上市中國公司信用風(fēng)險研究——基于修正的GARCH-KMV模型[J];商;2015年06期
9 丁湘;;基于新巴塞爾協(xié)議對我國銀行信用風(fēng)險的控制[J];時代金融;2015年03期
10 馬若微;張微;白宇坤;;我國上市公司動態(tài)違約概率KMV模型改進[J];系統(tǒng)工程;2014年11期
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