發(fā)布時(shí)間：2018-10-13 18:54

【摘要】：自2008年后,地方政府融資平臺(tái)的數(shù)量和規(guī)模急劇增加,各銀行對(duì)地方融資平臺(tái)的信用貸款也急劇增加。隨著還款高峰期的到來(lái),承擔(dān)巨額地方政府融資平臺(tái)貸款的商業(yè)銀行重新審視自身的信用風(fēng)險(xiǎn)管理工作。在中國(guó)銀行監(jiān)督委員會(huì)牽頭組織各地銀行和金融機(jī)構(gòu)開(kāi)展一次地方政府融資平臺(tái)貸款壓力測(cè)試工作的背景下,將壓力測(cè)試方法整合融入商業(yè)信貸風(fēng)險(xiǎn)管理框架之中具有重要實(shí)踐意義。本文以X銀行S分行(以下簡(jiǎn)稱X銀行)地方政府融資平臺(tái)貸款為研究對(duì)象,研究了其信貸風(fēng)險(xiǎn)管理中壓力測(cè)試方法的應(yīng)用。 本文嘗試?yán)蒙虡I(yè)銀行信用風(fēng)險(xiǎn)分析方法,結(jié)合X銀行地方政府融資平臺(tái)貸款業(yè)務(wù)現(xiàn)狀,分別從宏、中、微觀三個(gè)層面進(jìn)行信用風(fēng)險(xiǎn)因素分析,為基礎(chǔ)壓力指標(biāo)的歸納提供參考依據(jù)。通過(guò)查詢研究文獻(xiàn)、參考監(jiān)管機(jī)構(gòu)資料歸納了基礎(chǔ)壓力指標(biāo),運(yùn)用德?tīng)柗品▽?duì)基礎(chǔ)壓力指標(biāo)進(jìn)行篩選,最終獲得7個(gè)壓力指標(biāo)。根據(jù)X銀行地方政府融資平臺(tái)貸款業(yè)務(wù)的還款來(lái)源和實(shí)踐經(jīng)驗(yàn)歸納羅列出了4個(gè)壓力指標(biāo)作為情景假設(shè),并設(shè)定了輕度、中度、重度情景變化幅度�；趬毫y(cè)試方法在商業(yè)銀行信用資產(chǎn)風(fēng)險(xiǎn)管理應(yīng)用研究成果,本文設(shè)計(jì)了完整的地方政府融資平臺(tái)信貸壓力測(cè)試流程,在壓力測(cè)試模型的構(gòu)建上創(chuàng)新引入較為成熟的Credit-Metrics信用風(fēng)險(xiǎn)度量模型。通過(guò)X銀行地方政府融資平臺(tái)貸款樣本進(jìn)行壓力測(cè)試,檢驗(yàn)了設(shè)計(jì)的合理性,客觀反映了假設(shè)情境下地方政府融資平臺(tái)貸款表現(xiàn)對(duì)該行的負(fù)面影響程度。本文最后分析壓力測(cè)試在X銀行地方政府融資平臺(tái)信用風(fēng)險(xiǎn)管理的應(yīng)用結(jié)果,總結(jié)了地方政府融資平臺(tái)壓力測(cè)試過(guò)程并提出了加強(qiáng)地方政府融資平臺(tái)信貸管理建議。
[Abstract]:Since 2008, the number and size of local government financing vehicles have increased dramatically, and banks' credit loans to local financing vehicles have also increased sharply. With the arrival of the repayment peak, the commercial banks that take on huge loans from local government financing platforms re-examine their credit risk management work. Against the background of the Bank of China Supervision Commission leading banks and financial institutions to conduct a local government financing platform loan stress test, It is of great practical significance to integrate the stress test methods into the commercial credit risk management framework. In this paper, the application of the stress test method in the credit risk management of X Bank S Branch (X Bank) local government financing platform loan is studied. This article attempts to use the commercial bank credit risk analysis method, unifies the X bank local government financing platform loan service present situation, separately carries on the credit risk factor analysis from the macro, the middle, the microscopic three levels, It provides reference for induction of basic pressure index. By consulting the research literature and referring to the data of the regulatory body, the basic pressure index is summarized, and the Delphi method is used to screen the basic pressure index, and seven pressure indexes are obtained. According to the repayment sources and practical experience of local government financing platform loan business in X Bank, four pressure indicators are listed as scenario assumptions, and the range of mild, moderate and severe scenarios is set up. Based on the application of stress test method in commercial bank credit asset risk management, a complete local government financing platform credit stress testing process is designed in this paper. This paper introduces a mature Credit-Metrics credit risk measurement model on the construction of stress test model. Through X bank local government financing platform loan sample to carry on the stress test, has tested the design rationality, objectively reflected the local government financing platform loan performance under the hypothetical situation to the bank the negative influence degree. Finally, this paper analyzes the application of stress testing in X bank local government financing platform credit risk management, summarizes the local government financing platform stress testing process and puts forward some suggestions to strengthen the local government financing platform credit management.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.4

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本文編號(hào)：2269600