【摘要】：在國內(nèi)經(jīng)濟下行背景下,全國各地信貸企業(yè)擔保圈風險相繼爆發(fā),擔保圈風險已成為商業(yè)銀行區(qū)域性、系統(tǒng)性信貸風險管控的重點。借鑒大量國內(nèi)外文獻的研究成果,從商業(yè)銀行視角出發(fā),將矩陣識別與擔保圈網(wǎng)絡(luò)的脆弱性分析結(jié)合,提出了一種改進的脆弱性分析模型,測度了風險閾值的合理邊界。從三個階段分析和測度,第一階段通過矩陣識別出所有的信貸企業(yè)擔保圈,第二階段借鑒商業(yè)銀行風險評價體系進行風險分類,第三階段通過脆弱性分析預(yù)測出擔保圈內(nèi)違約風險最大的信貸企業(yè)。調(diào)用某省商業(yè)銀行信貸企業(yè)數(shù)據(jù)庫,利用該銀行SAS審計信息分析系統(tǒng),繪制出2016年該省某經(jīng)濟開發(fā)區(qū)內(nèi)所有信貸企業(yè)的擔保圈關(guān)系圖,并進行風險識別和預(yù)警,提出風險化解措施。實證結(jié)果與該省商業(yè)銀行信貸監(jiān)測結(jié)果一致,該方法實現(xiàn)了定性和定量的有機結(jié)合,具有一定的實際應(yīng)用意義和學術(shù)參考價值。
[Abstract]:Under the background of the downtrend of domestic economy, the risk of guarantee circle of credit enterprises all over the country erupts one after another, and the risk of guarantee circle has become the focal point of commercial banks' regional, systematic credit risk control. From the perspective of commercial banks, a modified vulnerability analysis model is put forward to measure the reasonable boundary of risk threshold by combining matrix identification with vulnerability analysis of guarantee ring networks from the perspective of a large number of domestic and foreign literatures. From the three stages of analysis and measurement, the first stage through the matrix to identify all credit enterprise guarantee circle, the second stage of the commercial bank risk assessment system for risk classification, In the third stage, the credit enterprises with the biggest default risk in the guarantee circle are predicted by vulnerability analysis. By using the bank's SAS audit information analysis system, the guarantee circle diagram of all credit enterprises in a certain economic development zone of the province in 2016 is drawn, and the risk identification and warning are carried out. The measures to resolve the risk are put forward. The empirical results are consistent with the results of credit monitoring of commercial banks in this province. This method realizes the organic combination of qualitative and quantitative methods and has some practical significance and academic reference value.
【作者單位】： 建設(shè)銀行山西省分行審計部;太原理工大學經(jīng)濟管理學院;山西財經(jīng)大學統(tǒng)計學院;
【基金】：國家自然科學基金青年項目“省域裝備制造業(yè)綠色創(chuàng)新效率評價、空間關(guān)聯(lián)及提升路徑研究”(41401655) 山西省軟科學研究項目“金融發(fā)展、資源稟賦與區(qū)域承接產(chǎn)業(yè)轉(zhuǎn)移差異研究”(2016041016-2)
【分類號】：F832.4

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