【摘要】：在中國,信托公司是唯一能夠同時涉足貨幣市場、資本市場和產(chǎn)業(yè)市場的“三棲”金融機構(gòu)。從基礎(chǔ)設(shè)施、大型工程建設(shè)投融資到租賃、擔(dān)保到企業(yè)的兼并重組、改制顧問,信托公司能夠提供全程式的金融服務(wù)。美國經(jīng)濟學(xué)家斯考特這樣評價信托：信托的應(yīng)用范圍,可以和人類的想象力相媲美。信托機構(gòu)作為管理財富的企業(yè),在為社會提供各種金融服務(wù)的同時,也面臨著市場風(fēng)險、操作風(fēng)險、信用風(fēng)險等各種形式的風(fēng)險,其中信用風(fēng)險是最主要、最直接的風(fēng)險,與其他種類的風(fēng)險相比也更具有不可控制性。 本文總體思路是認真梳理國內(nèi)外信用風(fēng)險管理的研究現(xiàn)狀和研究成果,為信托貸款信用風(fēng)險的分析搭建理論平臺,剖析信托貸款的信用風(fēng)險,探求信托貸款信用風(fēng)險管理的有效方法。首先,總結(jié)比較幾種信用風(fēng)險管理的傳統(tǒng)方法和現(xiàn)代模型的優(yōu)缺點,結(jié)合我國實際情況,最終選擇logistic回歸模型作為本文的實證分析工具；然后,采用139家申請信托貸款企業(yè)的相關(guān)數(shù)據(jù)與資料作為樣本,尋找影響信托貸款信用風(fēng)險的真正因素,建立信托貸款信用風(fēng)險logistic回歸模型,再用該模型檢驗A信托貸款項目的違約可能性。結(jié)果表明,信托貸款信用風(fēng)險Logistic回歸模型是有效可行的；最后,結(jié)合我國當(dāng)前的經(jīng)濟政策,提出信托公司防范和治理信托貸款信用風(fēng)險的對策和建議。 第一部分緒論。介紹了研究背景、研究目的及意義、國內(nèi)外研究現(xiàn)狀、研究方法與思路、研究創(chuàng)新與特色。 第二部分信托貸款信用風(fēng)險管理概述。首先,介紹了信用風(fēng)險的含義和特點；其次,從管理的角度闡述了信托公司信用風(fēng)險；最后,從管理的角度闡述了信托貸款信用風(fēng)險。 第三部分信托貸款信用風(fēng)險度量方法。首先,介紹了幾種傳統(tǒng)的信用風(fēng)險管理方法；其次,介紹了幾個比較有影響的信用風(fēng)險管理模型；通過對比各自優(yōu)缺點,最后指出Logistic回歸模型比較適合用來度量信托貸款信用風(fēng)險。 第四部分是Logistic模型在信托貸款風(fēng)險評估中的實證分析。首先,介紹了Logistic函數(shù)如何轉(zhuǎn)化為模型；其次,闡述了模型指標和樣本數(shù)據(jù)的選取,指出財務(wù)指標和非財務(wù)指標的選取標準和意義,樣本數(shù)據(jù)的來源；最后,構(gòu)建了信托貸款信用風(fēng)險Logistic模型。 第五部分是基于A信托貸款項目的Logistic模型實證檢驗。以A信托貸款項目為例,驗證信托貸款信用風(fēng)險Logistic回歸模型的有效性,表明信托貸款信用風(fēng)險Logistic回歸模型有較強的可行性。 第六部分結(jié)論和建議指出,西方國家現(xiàn)代信用風(fēng)險管理技術(shù)已經(jīng)比較成熟和完善,但目前我們利用西方信用風(fēng)險管理模式的條件還不具備,我國金融行業(yè)還需要在數(shù)據(jù)采集、發(fā)展商業(yè)信用評級機構(gòu)和完善相關(guān)法律、體制方面加強防范措施。
[Abstract]:In China, trust companies are the only three-perch financial institutions that can tap into money, capital and industrial markets at the same time. From infrastructure, investment and financing for large projects to leasing, guarantees to mergers and reorganization of enterprises, restructuring consultants, trust companies can provide full-course financial services. The American economist Scott said of trust: trust can be applied in a range comparable to human imagination. As an enterprise managing wealth, the trust institution is facing various kinds of risks, such as market risk, operation risk, credit risk and so on, while providing various financial services to the society. Among them, the credit risk is the most important and direct risk. They are also more uncontrollable than other types of risk. The overall idea of this paper is to carefully comb the domestic and foreign credit risk management research status and research results, for trust loan credit risk analysis of the theoretical platform, analysis of trust loan credit risk, To explore the effective method of trust loan credit risk management. Firstly, the advantages and disadvantages of several traditional methods and modern models of credit risk management are summarized and compared. Finally, logistic regression model is chosen as the empirical analysis tool of this paper. Then, the logistic regression model of trust loan credit risk is established by using the relevant data and data of 139 trust loan enterprises as samples to find the real factors that affect trust loan credit risk. Then the model is used to test the possibility of default of A trust loan project. The results show that the Logistic regression model of trust loan credit risk is effective and feasible, and finally, combined with the current economic policy of our country, the countermeasures and suggestions for trust company to prevent and control trust loan credit risk are put forward. The first part is introduction. This paper introduces the research background, research purpose and significance, domestic and international research status, research methods and ideas, research innovation and characteristics. The second part is an overview of trust loan credit risk management. Firstly, it introduces the meaning and characteristics of credit risk; secondly, it expounds trust company credit risk from the perspective of management; finally, it expounds trust loan credit risk from the angle of management. The third part is the credit risk measurement method of trust loan. Firstly, several traditional credit risk management methods are introduced, secondly, several influential credit risk management models are introduced. By comparing their advantages and disadvantages, it is pointed out that Logistic regression model is more suitable to measure trust loan credit risk. The fourth part is the empirical analysis of Logistic model in trust loan risk assessment. Firstly, it introduces how to transform Logistic function into model, secondly, expounds the selection of model index and sample data, points out the standard and significance of selecting financial index and non-financial index, and the source of sample data. Finally, the Logistic model of trust loan credit risk is constructed. The fifth part is the empirical test of Logistic model based on A trust loan project. Taking A trust loan project as an example, the validity of the trust loan credit risk Logistic regression model is verified, which indicates that the trust loan credit risk Logistic regression model has strong feasibility. The sixth part points out that the modern credit risk management technology in western countries has been mature and perfect, but at present we do not have the conditions to use the western credit risk management model, and the financial industry in our country still needs to collect data. To develop commercial credit rating agencies and improve relevant laws, institutional measures to strengthen prevention.
【學(xué)位授予單位】：安徽大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.49

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本文編號：2330484