商业银行信贷风险度量与管理研究

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万方数据
Abstract
In recent years, with China's capital market gradually opening up and improving furtherly international level ,the operations of commercial banks and development of the macroeconomic environment has became increasingly complex. Credit risk has became commercial banks running the core of one of the risks. Credit risk will not only directly affect the normal operation of commercial banks and development, but also affect the healthy and sustainable development of China's macroeconomic and social stability. And, at this stage domestic commercial banks mainly using traditional credit metrics for credit risk measurement, this measurement method use the enterprise historical financial data, this does not accurately reflect the measure of business now and the future development of the situation. In this case, the commercial banks credit rating of the enterprise will be a large bias, which leads to commercial bank credit risk measurement in a big deviation. China's commercial bank credit risk management and the increasingly complex international economic environment have prompted commercial banks to raise credit risk measurement accuracy and management level, improve bank credit metrics and management systems and it have became China's commercial banks imperative. This paper firstly analyzes the background and significance of the study of commercial bank credit risk measurement and management, and summarizes the domestic and foreign scholars on commercial bank credit risk measurement and management of credit risk, then we briefly introduced the measurement and management of commercial banks the historical evolution of the theory. And then we summarize the concept and theory of commercial bank credit risk, as well as the research briefly discusses the new Basel Capital Accord III lays a theoretical foundation for the following, and based on the analysis of the present situation of the credit risk management of commercial banks in China and the main problems. Next, we discusses the traditional evaluation method of commercial bank credit risk measurement and modern measurement model, in which the traditional evaluation method includding credit scoring method, expert system method, neural network method, credit rating method and financial index method, while the modern metric model includes the CreditPortfolio View model, KMV model, CreditMetrics model and CreditRisk+ model, and the measurement method of the main advantages and
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万方数据
disadvantages, and based on the KMV model for empirical analysis on the listed commercial banks of our country 16 credit risk measurement, studies have found that KMV model can better estimate the listed commercial bank default distance and default probability, and empirical analysis of the commercial bank credit risk and capital adequacy ratio and the bank capital, found that commercial banks can manage credit risk by controlling the capital adequacy and equity capital, provide empirical support for the commercial bank credit risk management. Finally, we discussed the modern management methods and mechanism of credit risk for the commercial banks, combined with the conclusions of empirical analysis.Accoring to lessons from the modern credit risk management method of foreign commercial banks and according to our country commercial bank we carry out the activities of credit business of the particularity of its applicability of correction, at the same time improving our credit risk early warning system, commercial the credit risk of banks internal credit rating system and credit risk external prevention puting forward relevant policy recommendations system. This not only has important theoretical significance to enrich the theory study on the credit risk of commercial banks, but also improves the significance of efficiency and safety of the credit business of commercial banks.
学校代码 分 类 号
10530 F832.33
学 密
号 级
201102110174 公 开
硕 士 学 位 论 文
商业银行信贷风险度量与管理研究
学 位 申 请 人 指 学 学 研 导 院 科 究 教 名 专 方 师 称 业 向 姚泓名
陈赤平 教授 商学院 应用经济学 金融学
二零一四年五月
万方数据
Commercial Bank Credit Risk Measurement and Management Research