本文關(guān)鍵詞：基于內(nèi)部評(píng)級(jí)法的我國(guó)商業(yè)銀行中小企業(yè)貸款信用風(fēng)險(xiǎn)的度量與實(shí)證研究　出處：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 中小企業(yè)貸款 信用風(fēng)險(xiǎn) 內(nèi)部評(píng)級(jí)法

【摘要】：金融行業(yè)在近百年來得到了的高速發(fā)展,同時(shí)也在全球經(jīng)濟(jì)體系中發(fā)揮著越來越為重要的作用。1999年美國(guó)出臺(tái)《金融服務(wù)現(xiàn)代化法》中提出銀行、證券和保險(xiǎn)的混業(yè)經(jīng)營(yíng),從此全球金融行業(yè)取得了前所未有的發(fā)展。然而金融創(chuàng)新帶來的金融自由化浪潮,大大加劇了金融業(yè)的競(jìng)爭(zhēng),也衍生出更多、更復(fù)雜的金融風(fēng)險(xiǎn),最終導(dǎo)致了近幾十年來的多次金融危機(jī),這些金融危機(jī)導(dǎo)致世界經(jīng)濟(jì)遭受嚴(yán)重的損失,這樣的背景下如何認(rèn)識(shí)和管理金融業(yè)風(fēng)險(xiǎn)愈發(fā)得到各國(guó)的重視。 然而在金融危機(jī)爆發(fā)的時(shí)候,各個(gè)國(guó)家遭受損失的程度并不盡相同。究其原因,本人贊同是由于各個(gè)國(guó)家的金融監(jiān)管模式和強(qiáng)度不同所造成的,即金融風(fēng)險(xiǎn)的防范能力有區(qū)別。對(duì)我國(guó)來說,金融業(yè)是經(jīng)濟(jì)重要組成部分,而銀行又是我國(guó)金融業(yè)最主要的組成部分,所以銀行風(fēng)險(xiǎn)的防范是金融行業(yè)風(fēng)險(xiǎn)防范的重點(diǎn)。 巴塞爾資本協(xié)議中認(rèn)為銀行面臨的風(fēng)險(xiǎn)主要包括如下四個(gè)：信用風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)、操作風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)。信用風(fēng)險(xiǎn)通常是銀行首要面臨的風(fēng)險(xiǎn)。所以銀行的風(fēng)險(xiǎn)管理中,信用風(fēng)險(xiǎn)管理占有重要地位。一般來說風(fēng)險(xiǎn)管理包括風(fēng)險(xiǎn)的識(shí)別、度量、預(yù)防控制及監(jiān)管等步驟,對(duì)于商業(yè)銀行的信用風(fēng)險(xiǎn)管理主要是指風(fēng)險(xiǎn)的分析度量、防范、對(duì)沖和補(bǔ)償、資本充足率的監(jiān)管等,其中對(duì)貸款項(xiàng)目的信用風(fēng)險(xiǎn)的精確度量是授信質(zhì)量的前提,同時(shí)還需考慮貸款客戶的信用狀況,因此信用風(fēng)險(xiǎn)度量和評(píng)價(jià)成為銀行信用風(fēng)險(xiǎn)管理的重要組成部分。 在加強(qiáng)風(fēng)險(xiǎn)管理的背景下,我國(guó)銀監(jiān)會(huì)在整合前期發(fā)布的一系列相關(guān)辦法文件后,于2012年6月發(fā)布了《商業(yè)銀行資本管理辦法(試行)》(后簡(jiǎn)稱《資管辦法》)。特別的新監(jiān)管框架中從數(shù)量上看,17個(gè)附件里超過三分之一的指引文件標(biāo)題中都含有“信用風(fēng)險(xiǎn)”四字--可見監(jiān)管機(jī)構(gòu)對(duì)信用風(fēng)險(xiǎn)的重視程度。同時(shí)新監(jiān)管框架提出了商業(yè)銀行機(jī)構(gòu)是必須分階段逐步建立和完善的信用評(píng)價(jià)體系。 2012年初召開的五年一度的全國(guó)金融工作會(huì)議中要求“確保金融資源特別是信貸資源更好的服務(wù)于實(shí)體經(jīng)濟(jì),并向中小企業(yè)傾斜”是下一階段的重要工作。銀監(jiān)會(huì)為貫徹國(guó)務(wù)院關(guān)于加強(qiáng)小微企業(yè)金融服務(wù)的政策精神,印發(fā)了《關(guān)于商業(yè)銀行進(jìn)一步改進(jìn)小企業(yè)金融服務(wù)的通知》等系列支持小企業(yè)發(fā)展的政策文件,力圖鞏固和擴(kuò)大前期中小企業(yè)金融服務(wù)工作成果,進(jìn)一步促進(jìn)中小企業(yè)金融服務(wù)業(yè)可持續(xù)發(fā)展。然而一方面逐步試行更為嚴(yán)格控制風(fēng)險(xiǎn)的監(jiān)管規(guī)則和要求,另一方面又要希望銀行向風(fēng)險(xiǎn)較大的中小企業(yè)擴(kuò)大貸款規(guī)模,加大為中小企業(yè)金融服務(wù)力度。在這樣非常復(fù)雜的、矛盾重重的背景下,需要得到各級(jí)政府和社會(huì)各界的重視和共同努力。為了探討和解決這一問題,本文選取從銀行角度出發(fā),從源頭上探討要解決商業(yè)銀行中小企業(yè)貸款問題、信用風(fēng)險(xiǎn)度量、控制和預(yù)警等問題,就必須專門針對(duì)中小企業(yè)貸款信用風(fēng)險(xiǎn)構(gòu)建內(nèi)部評(píng)級(jí)體系,從而有效的控制風(fēng)險(xiǎn)以及滿足新監(jiān)管辦法的要求。 本文從中小企業(yè)經(jīng)營(yíng)管理中的特有風(fēng)險(xiǎn)因素出發(fā),在構(gòu)建中小企業(yè)信用風(fēng)險(xiǎn)度量指標(biāo)體系的基礎(chǔ)上,采用符合巴塞爾協(xié)議內(nèi)部評(píng)級(jí)法(IRB)要求的檢驗(yàn)和驗(yàn)證方法,通過飽和變換構(gòu)建具有嚴(yán)格統(tǒng)計(jì)意義、較好的預(yù)測(cè)能力和擴(kuò)展性的信用評(píng)分模型。同時(shí),通過模型的校準(zhǔn)和映射,開發(fā)出符合銀行實(shí)際情況和中小企業(yè)特殊情況的主標(biāo)尺和映射函數(shù),使模型的輸出結(jié)果與“現(xiàn)實(shí)”的違約率以及評(píng)級(jí)結(jié)果形成較好的映射關(guān)系。本研究對(duì)銀行構(gòu)建內(nèi)部評(píng)級(jí)體系以及提高中小企業(yè)信用風(fēng)險(xiǎn)管理水平提供了實(shí)證的支持,具有一定現(xiàn)實(shí)參考意義。 本文的結(jié)構(gòu)大致如下： 第一章,緒論。闡述了選題背景和意義,較為全面的對(duì)相關(guān)文獻(xiàn)進(jìn)行分析和綜述,此后提出了本文的研究?jī)?nèi)容、研究方法、框架結(jié)構(gòu),論文的創(chuàng)新點(diǎn)。 第二章,我國(guó)商業(yè)銀行新監(jiān)管辦法。首先對(duì)巴塞爾協(xié)議的歷史演進(jìn)展開回顧,并簡(jiǎn)單的對(duì)巴塞爾新資本協(xié)議和第三版巴塞爾協(xié)議的新提法或新方法做出總結(jié)和歸納,然后對(duì)我國(guó)銀監(jiān)會(huì)在前期的多個(gè)指引和辦法的的基礎(chǔ)上提出的《商業(yè)銀行資本管理辦法(試行)》及附則進(jìn)行解讀,最后專門詳述了本文相關(guān)的信用風(fēng)險(xiǎn)度量方法等。 第三章,提出商業(yè)銀行中小企業(yè)貸款的一個(gè)信用風(fēng)險(xiǎn)度量模型。在上述的準(zhǔn)備過后,提出了一個(gè)構(gòu)建商業(yè)銀行中小企業(yè)貸款信用風(fēng)險(xiǎn)度量的模型。第一步確定候選指標(biāo)池,第二步刪選指標(biāo),第三步回歸得到計(jì)量模型,第四步模型校準(zhǔn)與映射(評(píng)級(jí))。 第四章,某小型商業(yè)銀行中小企業(yè)信用風(fēng)險(xiǎn)度量實(shí)證研究。在經(jīng)過上一章的設(shè)定的方法后,最終結(jié)果里定量模型含有中6個(gè)指標(biāo)；定性模型含有7個(gè)指標(biāo)。其后,本章繼續(xù)按內(nèi)部評(píng)級(jí)法的要求做到了對(duì)客戶的評(píng)級(jí)。 第五章,研究總結(jié)與建議。對(duì)實(shí)證結(jié)論展開分析,并指出了本人在文章中的不足之處。然后提出了對(duì)我國(guó)商業(yè)銀行運(yùn)用內(nèi)部評(píng)級(jí)法構(gòu)建中小企業(yè)貸款信用風(fēng)險(xiǎn)度量模型和評(píng)級(jí)系統(tǒng)的建議。最后指出進(jìn)一步的四個(gè)研究方向。
[Abstract]:The rapid development of the financial industry has been in the last hundred years, but also in the global economic system plays a more and more important role for bank.1999 in the United States issued "Financial Services Modernization Act", mixed operation of securities and insurance, from the global financial industry has achieved a hitherto unknown development. However, financial innovation brings the wave of financial liberalization, greatly intensified the competition in the financial industry, more and more complex financial risk, eventually led to the financial crisis in recent decades, the financial crisis suffered a heavy loss of world economy, the background of how to recognize and manage the risks of financial industry more and more national attention.
However, when the outbreak of the financial crisis, all countries damage are not the same. The reason is because I agree with the mode of financial supervision and the strength of various countries caused by the different, namely the financial risk prevention ability are different. In China, the financial industry is an important part of the economy, while banking is a part of China's financial industry mainly, so the prevention of bank risk is the key risk prevention of the financial industry.
The Basel capital accord that banks face the risk mainly includes the following four aspects: operational risk, credit risk, market risk, liquidity risk. Credit risk is usually the risk of bank faced. So the bank risk management, credit risk management occupies an important position. Measure the general risk management, including risk identification. The prevention and control and supervision procedures, for the credit risk management of commercial banks mainly refers to the risk analysis and measurement, prevention, hedge and compensation, the regulation of capital adequacy, the credit risk of loan project is a prerequisite for accurate measurement of credit quality, also need to consider the loan customer's credit status, so credit risk measurement and evaluation has become an important part of bank credit risk management.
In strengthening the risk management in the context of a series of related documents to the China Banking Regulatory Commission released on the integration of early, on June 2012 issued a "commercial bank capital management (Trial) > (after referred to as the" information management way >). The new regulatory framework especially in terms of quantity, 17 more than 1/3 accessories in the guidance document title contains four words "credit risk" -- visible regulators attention to credit risk. At the same time, the new regulatory framework proposed commercial banks must gradually establish and perfect the credit evaluation system in stages.
At the beginning of 2012 meeting of the five annual meeting of national financial work required to ensure financial resources especially credit resources to better serve the real economy, and tilt to small and medium-sized enterprises is an important work in the next stage. China Banking Regulatory Commission to implement the State Council on strengthening the Small and micro businesses financial services policy, issued a "commercial bank financial services for small enterprises to further improve the notification on the series of supporting the development of small enterprises in the policy file, to consolidate and expand the financial services of small and medium-sized enterprises early work, to further promote the sustainable development of small and medium-sized enterprises in financial services. However, a gradual trial more strict risk control rules and regulatory requirements, on the other hand, hope banks to expand lending to small and medium-sized enterprises greater risk, increase the intensity of financial services for small and medium-sized enterprises. In this very complex, heavy contradiction Heavy background, need all levels of government and social attention and efforts. In order to discuss and solve this problem, this paper selects from the perspective of the banks, to explore the solution to commercial bank loans to small and medium-sized enterprises from the source, credit risk measurement, control and pre alarm and other issues, it must be specifically for small and medium enterprises credit the risk of loans to build the internal rating system, control risk effectively and meet the requirements of the new regulatory measures.
This article from the specific risk factors in the management of small and medium-sized enterprises, based on the construction of SME credit risk measurement index system, according to the IRB Basel agreement (IRB) test and verification method has strict requirements, construction of statistical significance by saturation transform, credit scoring model for better prediction ability and scalability at the same time, through the calibration and mapping model, the development of the main scale and mapping functions to meet the actual situation and the special circumstances of the Bank of small and medium-sized enterprises, the output result of the model and the "reality" of the default rate and the rating results form mapping relationship better. The research on Construction Bank internal rating system and provides empirical support to improve the level of credit risk management of small and medium-sized enterprises, has a certain practical significance.
The structure of this article is as follows:
The first chapter is the introduction. It sets forth the background and significance of the topic selection, and makes a comprehensive analysis and review of the related literature. After that, the research contents, research methods, framework structure and innovation of this paper are put forward.
The second chapter, to our country commercial bank supervision. Firstly, the historical evolution of the new Basel agreement to start review, and on the new Basel Capital Accord and the third edition of the Basel protocol of the new formulation or new method summarized, and then the China CBRC commercial bank capital management based on multiple guidelines and measures early on the < (Trial) > interpretation and annex, finally the specific details related to credit risk measurement methods.
The third chapter proposes a credit risk of commercial bank loans to small and medium-sized enterprises measurement model. After the preparation, proposed a construction of commercial banks to SMEs credit risk measurement model. The first step to determine the candidate pool index, second selected indicators, third step regression model, the fourth step model and calibration mapping (rating).
The fourth chapter, an empirical study on the SME credit risk measurement of a small commercial bank. After the setting method of the previous chapter, the final results in the quantitative model with 6 indicators; qualitative model with 7 indexes. Then, this chapter according to the IRB did to the customer rating.
The fifth chapter, the summary and suggestion research. To analyze the empirical conclusions, and pointed out the deficiencies in the article I. Then put forward to China's commercial banks using the internal rating method to construct the credit risk measurement model and rating system suggestion. Finally it points out four further research direction.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.4;F275;F276.3

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本文編號(hào)：1395096