本文關(guān)鍵詞： 信貸風(fēng)險 風(fēng)險度量 KMV模型 風(fēng)險管理　出處：《湘潭大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來，隨著我國資本市場逐步開放，國際化程度進一步提高，商業(yè)銀行經(jīng)營和發(fā)展的宏觀經(jīng)濟環(huán)境變得越來越復(fù)雜，信貸風(fēng)險已經(jīng)成為商業(yè)銀行正常運行的核心風(fēng)險之一。信貸風(fēng)險不僅會直接影響到商業(yè)銀行的正常經(jīng)營和發(fā)展，還會影響到我國宏觀經(jīng)濟的健康持續(xù)發(fā)展和社會穩(wěn)定。并且，現(xiàn)階段國內(nèi)商業(yè)銀行主要使用傳統(tǒng)信貸度量方法進行信貸風(fēng)險度量，這種度量方法主要是使用企業(yè)的歷史財務(wù)數(shù)據(jù)，不能準(zhǔn)確反映被度量企業(yè)的現(xiàn)在和未來發(fā)展?fàn)顩r。在這種狀況下，商業(yè)銀行對企業(yè)信用狀況評級會出現(xiàn)較大偏誤，這導(dǎo)致商業(yè)銀行信貸風(fēng)險度量存在較大偏差。我國商業(yè)銀行信貸風(fēng)險管理現(xiàn)狀和日益復(fù)雜國際經(jīng)濟環(huán)境都促使商業(yè)銀行提高信貸風(fēng)險度量的準(zhǔn)確性和管理水平，完善銀行信貸度量方法和管理體系成為我國商業(yè)銀行的當(dāng)務(wù)之急。 本文首先分析了現(xiàn)階段研究商業(yè)銀行信貸風(fēng)險度量與管理的背景和意義，并綜述國內(nèi)外學(xué)者對商業(yè)銀行信貸風(fēng)險度量與管理的研究動態(tài)，簡要梳理商業(yè)銀行信貸風(fēng)險度量與管理理論的歷史演變。然后概述商業(yè)銀行信貸風(fēng)險的概念、巴塞爾新資本協(xié)議Ⅲ，論述商業(yè)銀行信貸風(fēng)險度量的傳統(tǒng)評估方法和現(xiàn)代度量模型以及這些度量方法的主要優(yōu)缺點為下文的開展研究奠定理論基礎(chǔ)。在此基礎(chǔ)上分析了我國商業(yè)銀行信貸風(fēng)險管理現(xiàn)狀和存在的主要問題，并基于KMV模型對我國16家上市商業(yè)銀行信貸風(fēng)險度量進行實證分析，研究發(fā)現(xiàn)KMV模型能較好的估算出上市商業(yè)銀行違約距離和違約概率，同時實證分析了商業(yè)銀行信貸風(fēng)險與資本充足率和銀行自有資本的關(guān)系，發(fā)現(xiàn)商業(yè)銀行可以通過控制資本充足率和自有資本來管理銀行信貸風(fēng)險，為商業(yè)銀行信貸風(fēng)險管理提供實證支撐。 最后，論述商業(yè)銀行信貸風(fēng)險的現(xiàn)代管理方法和機制，并結(jié)合實證分析的結(jié)論，借鑒國外商業(yè)銀行的現(xiàn)代信貸風(fēng)險管理方法并根據(jù)我國商業(yè)銀行開展信貸業(yè)務(wù)活動的自身特殊性對其進行適用性修正，同時針對提高商業(yè)銀行資本充足率，規(guī)范信貸操作流程；改進風(fēng)險度量模型，完善信貸風(fēng)險預(yù)警系統(tǒng)；強化信貸人才培養(yǎng)，優(yōu)化內(nèi)部信用評級系統(tǒng)提出相關(guān)的政策建議。這不僅對豐富商業(yè)銀行信貸風(fēng)險理論研究具有重要的理論意義，而且對提高商業(yè)銀行信貸業(yè)務(wù)經(jīng)營的效率性和安全性的重要現(xiàn)實意義。
[Abstract]:In recent years, with the gradual opening of China's capital market and the further improvement of the degree of internationalization, the macroeconomic environment for the operation and development of commercial banks has become more and more complex. Credit risk has become one of the core risks in the normal operation of commercial banks. Credit risk will not only directly affect the normal operation and development of commercial banks, but also affect the healthy and sustainable development of China's macro economy and social stability. At present, domestic commercial banks mainly use traditional credit measurement methods to measure credit risk, which mainly uses historical financial data of enterprises. Can't accurately reflect the present and future development of the measured enterprises. In this case, commercial banks will have a large bias in the credit status of the enterprises. The present situation of credit risk management of commercial banks in China and the increasingly complex international economic environment urge commercial banks to improve the accuracy and management level of credit risk measurement. Perfect bank credit measure method and management system become the urgent matter of our country commercial bank. This paper first analyzes the background and significance of the current research on credit risk measurement and management of commercial banks, and summarizes the research trends of domestic and foreign scholars on credit risk measurement and management of commercial banks. This paper briefly reviews the historical evolution of the theory of credit risk measurement and management of commercial banks, and then summarizes the concept of credit risk of commercial banks, the Basel New Capital Accord 鈪，

本文編號：1549787