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论文编号：	1816
作者编号：	041964
上传时间：	2010/5/12 17:02:56
中文题目：	商业银行贷款项目信用风险度量方法研究
英文题目：	commercial bank, loan project, credit risk
指导老师：	戚安邦
中文关键字：	商业银行、贷款项目、信用风险、风险度量方法
英文关键字：	commercial bank, loan project, credit risk, risk measuring method
中文摘要：	商业银行作为金融和交易的中介机构，在现代经济运行中发挥着举足轻重的作用。商业银行通过经营货币与信用在获得了巨额利润的同时，也面临着诸多风险，其中伴随信贷行为产生的信用风险是金融市场最为古老的一类风险，也是商业银行及其监管机构最为关心的问题，因而如何有效地控制信用风险一直是理论和实务界追求的目标。在信用风险管理过程中，信用风险度量工作是通过分析企业目前的财务、管理和发展等状况来判断其违约可能，为贷款提供决策支持的关键一环，因而具有很大的研究价值。 本文在对信用风险、信用风险度量进行了深入理论研究的基础上，沿着信用风险度量方法的演进历程，对基于专家的传统定性度量方法、基于概率和财务指标的定量度量方法以及基于金融和信息科学的现代度量方法进行了分析对比。继而本文回顾了我国商业银行信用风险度量工作的历史和现状，针对我国商业银行目前通用的贷款风险五级分类方法和贷款风险度度量方法进行了深入的分析，基于发达国家商业银行纷纷采用现代度量方法的趋势，本文从客观角度分析了我国商业银行目前无法直接采用现代度量方法的原因，而应该探索适合我国商业银行实际情况的度量方法。最后本文基于我国商业银行目前通用的风险五级分类，引入模糊评价理论，构建了信用风险的模糊层次综合度量方法，并针对度量结果的科学性进行了相应的技术改进。 本文在对理论和方法进行了深入分析之后，立足于我国商业银行现实情况，构建了信用风险的模糊层次综合度量方法。基于模糊评价理论，本文在方法的构建上进行了相关标度法代替专家法确定模糊因素权重、不同层级次准则层因素隶属度数量级统一化处理、目标层度量结果清晰化处理等技术改进。但是由于作者水平限制，度量方法的构建仍然存在很多不足，今后可以在单因素评判矩阵的构建方法、增强方法的动态跟踪预测能力方面做进一步研究。
英文摘要：	Modern commercial banks, which are the financial and exchanging agency, play the pivotal role in the modern economical circulation. While the commercial banks have gained huge profit through dealing with the currency and credit, they also face various risks. Above all the risks, credit risk is the most ancient one in the money market, and also the most concerned issue of commercial banks and its supervising organization. So how to control the credit risk effectively is always the goal of experts. In the process of managing credit risk, the measurement of credit risk judges the possibility of felling back through analyzing the present condition of an enterprise on finance, management ,development and so on .The measurement of the credit risk is a key part of the loan decision, thus it has great studying value. In this paper, the author firstly goes into the theoretical research thoroughly on credit risk measurement. Then it analyzes and contrasts with the traditional qualitative measuring method which is based on professional system, quantificational measuring method which is based on probability and financial target, and modern measuring method which is based on finance and information science along with the credit risk measure method evolution course. Subsequently, this thesis reviews the history and present situation of the credit risk measurement in the commercial banks of our country. It analyses thoroughly the five-tier classification and degree of loaning risk method in view of the general loaning risk in our commercial banks at present. Based on the tendency of adopting the modern measuring method in the developed countries, this thesis analyzes why our commercial banks are unable to adopt the modern measuring method directly at present by the objective angle. The outlet of our commercial banks is to explore the measure method fitting the actual situation of our country. Finally, it introduces the fuzzy evaluating theory to construct the synthesizing measuring method of fuzzy hierarchy. And there is some technical amelioration to ensure the correctness of measuring result. The paper constructs the synthesizing measuring method of fuzzy hierarchy to measure the credit risk, after analyzing the theory and method. This method is based on the actual situation of our commercial banks. Based on the Fuzzy Evaluating Theory, we have made some technical improvement for the construction of usual method. They include the process of using Co relational Scaling Method substitute for Delphi Method to get the weight of Fuzzy Factor, Uniform Quantization for membership degree of factors in different sub rule levels, the method for fixing the Fuzzy Measurement result of target level, etc. But due to the author level, there are still many insufficiencies in the measuring method. For the future, we might do further study on the construction method of single factor of judgment matrix and how to enhance the forecasting ability of dynamic track of the method.
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