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论文编号：	2310
作者编号：	2120082205
上传时间：	2010/6/8 19:33:02
中文题目：	我国商业银行贷款项目信用风险度量的研究
英文题目：	Research on the Credit Risk Measurement of the Loan Project of the Commercial Bank in China
指导老师：	戚安邦
中文关键字：	信用风险;风险可能性度量;风险严重性度量;风险进程性度量
英文关键字：	credit risk;the measurement of risk possibility;the measurement of risk seriousness;the measurement of risk process
中文摘要：	信用风险是影响贷款质量最重要的因素，如何对信用风险进行准确的度量是所有商业银行都急需解决的问题。我国商业银行起步晚、水平低，受制于多种原因，风险度量存在很大的问题，这使得我国商业银行资产存在很大的隐患。本文正是在这一背景下，以我国商业银行为对象，对其信用风险度量体系进行了研究。 本文以分析我国商业银行信用风险度量不足之处为切入点，研究了商业银行信用风险度量体系的内容并设计了适合我国商业银行的信用风险度量方法体系，同时对其进行了实证研究。得出主要结论包括：我国商业银行信用风险度量存在风险度量内容体系不完整、风险度量方法处于定性阶段缺乏定量分析等问题；商业银行信用风险度量内容体系应包括风险可能性度量、严重性度量报告和进程性度量三方面内容；本文根据商业银行信用风险度量内容体系设计的度量方法体系用违约距离进行风险可能性度量与实际情况比较符合，严重性度量和进程性度量在专家评估之下也可以得到较好的体现。 本文的研究创新点主要有：第一，在分析我国商业银行信用风险度量存在问题的基础之上，研究了商业银行信用风险度量的内容体系，并对各个具体内容进行了说明，提出信用风险度量应该包含可能性、严重性和进程性三个方面，为方法体系的设计搭建了平台。第二，在设计的方法体系中将国外商业银行较为成熟的KMV模型与我国正在使用的五级分类法和专家评估法相结合，更具有一定的现实操作性。
英文摘要：	Credit risk is the most important factor in loan. And how to measure the credit risk of all commercial banks accurately are pressing problems. Chinese commercial bank started lately and the level of the bank is low. Subjecting to a variety of reasons, there is a big problem in risk measurement, which makes our commercial banks in dangerous situation. On this background, this thesis sets credit risk measurement of Chinese commercial banks as the target to study it. This thesis sets the analysis of the shortcoming of commercial bank's credit risk measurement as the starting point. And it designs credit risk measurement methodology for China's commercial banks and carries out empirical study based on doing researches on the content of credit risk measurement. The main conclusions are drawn as follows：The Chinese commercial banks risk measurement still have many problems, such as the content system is incomplete, risk measurement method is in the phase of qualitative method and quantitative method is still in lack; The content system of commercial bank credit risk measurement should includes three parts, that is, the possibility measurement, the seriousness measurement and the process measurement; The credit risk measurement method, according to the researches on the content system of credit risk measurement, is consistent with the actual situation using distance to default to measure the possibility of credit risk and it can also embody the seriousness and the process. The innovations of this thesis are: First, Based on the analysis of the problems of Chinese commercial bank risk measurement, the thesis studies the content system of credit risk measurement and describes all the specific details, raising that the content system of credit risk measurement should includes three parts, that is, the possibility measurement, the seriousness measurement and the process measurement and designs a platform of the establishment of the method system. Second, combining the KMV model with the five-tier classification which was widely used in Chinese commercial banks now makes the credit risk measurement method be more certain practical operational.
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