【摘要】：自2008年后,地方政府融資平臺的數(shù)量和規(guī)模急劇增加,各銀行對地方融資平臺的信用貸款也急劇增加。隨著還款高峰期的到來,承擔巨額地方政府融資平臺貸款的商業(yè)銀行重新審視自身的信用風險管理工作。在中國銀行監(jiān)督委員會牽頭組織各地銀行和金融機構開展一次地方政府融資平臺貸款壓力測試工作的背景下,將壓力測試方法整合融入商業(yè)信貸風險管理框架之中具有重要實踐意義。本文以X銀行S分行(以下簡稱X銀行)地方政府融資平臺貸款為研究對象,研究了其信貸風險管理中壓力測試方法的應用。 本文嘗試利用商業(yè)銀行信用風險分析方法,結合X銀行地方政府融資平臺貸款業(yè)務現(xiàn)狀,分別從宏、中、微觀三個層面進行信用風險因素分析,為基礎壓力指標的歸納提供參考依據(jù)。通過查詢研究文獻、參考監(jiān)管機構資料歸納了基礎壓力指標,運用德爾菲法對基礎壓力指標進行篩選,最終獲得7個壓力指標。根據(jù)X銀行地方政府融資平臺貸款業(yè)務的還款來源和實踐經(jīng)驗歸納羅列出了4個壓力指標作為情景假設,并設定了輕度、中度、重度情景變化幅度�；趬毫y試方法在商業(yè)銀行信用資產(chǎn)風險管理應用研究成果,本文設計了完整的地方政府融資平臺信貸壓力測試流程,在壓力測試模型的構建上創(chuàng)新引入較為成熟的Credit-Metrics信用風險度量模型。通過X銀行地方政府融資平臺貸款樣本進行壓力測試,檢驗了設計的合理性,客觀反映了假設情境下地方政府融資平臺貸款表現(xiàn)對該行的負面影響程度。本文最后分析壓力測試在X銀行地方政府融資平臺信用風險管理的應用結果,總結了地方政府融資平臺壓力測試過程并提出了加強地方政府融資平臺信貸管理建議。
[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.
【學位授予單位】：西南交通大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.4

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