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论文编号：	2615
作者编号：	2220080658
上传时间：	2010/6/15 17:03:56
中文题目：	我国商业银行信用风险管理研究
英文题目：	Research of Credit Risk Management on Commercial Bank in China
指导老师：	齐寅峰
中文关键字：	商业银行 信用风险 组合管理
英文关键字：	Commercial bank Credit risks Portfolio management
中文摘要：	信用风险是金融市场中最古老、最重要的风险形式之一，也是商业银行面临的主要风险。随着全球性金融危机在二十世纪九十年代接连爆发，更加引起国际银行业对信用风险管理高度重视，各国政府及金融机构在宏观经济和金融体系中不断寻求合理有效的风险管理办法，增强抵御金融风险的能力。在此过程中，世界许多大型金融机构研究、开发出多种新的信用风险管理模型，其中以结构模型(structural models)、宏观因素模型(macro factor models)及精算（“简约形式”）模型(actuarial models)三类模型最具代表性，它们的出现使得准确识别、度量和控制信用风险成为可能。 我国目前在信用风险量化管理方面还非常薄弱，远远不能满足商业银行对各种形式贷款信用风险的准确测量。在我国现行金融体系下，以银行贷款为主的间接融资方式仍在金融市场上占主导地位，证券市场和债券市场起步晚、规模小。这种市场结构引发了一系列问题: 一方面，金融风险主要集中在商业银行，另一方面，商业银行的风险主要表现为信用风险。本文的研究目的正是要根据巴塞尔委员会《巴塞尔新资本协议》的精神，结合现代信用风险管理模型，建立适合我国商业银行的信用风险组合管理框架，为我国商业银行风险防范提供一个可操作的组合管理模式，并在此基础上完善商业银行的资产定价、信贷决策及绩效考核体系。 本文共分五个章节。第一章介绍了文章选题的背景、立论依据、研究方法以及论文的结构。第二章给出了在巴塞尔新资本协议下信用风险的具体定义，对信用风险管理理论进行了综述，并侧重介绍了巴塞尔新资本协议。第三章分析了国际流行的信用风险管理模型，并对结构模型(structural models)、宏观因素模型(macro factor models)及精算（“简约形式”）模型(actuarial models)这三类信用风险管理模型进行比较分析。本文的重点是第四章，在对各种信用风险管理模型对比的基础上探讨了如何构建我国信用风险组合管理模型，给出了组合思路下的管理框架，并以组合管理为基础，提出进一步完善商业银行经营管理的建议。第五章是结论与展望。对本次研究进行总结，并对其在国内商业银行的应用前景进行了展望。
英文摘要：	Credit risk is the oldest and most important risk form the financial market, and it is the commercial banks face the major risk of. The financial crisis, which broke out in succession in the 90s of the 20th century, makes the international banks pay close attention to the credit risk management. The governments and financial institutions of various countries are constantly seeking the rational and efficient risk management methods in the macro economy and financial system to strengthen the ability to resist financial risks. In this course, a number of world large financial institutions researched and developed many kinds of new credit risk management models, among which structural models, macro factor models and actuarial models. Their appearance makes possible the accurate identification, measurement and control of the credit risks. Strengthening the credit risk management is the key to solve this problem. At present, risk quantitative management is still very weak in our country.Obviously, the practice can't meet the needs to measure the safety of various kinds of loans. In China's current financial system, the indirect financing means dominated by the commercial banks' loans takes a major position in the financing markets，because the late development and small scale of securities and companies markets. This leads to the following results: on one hand, financial risks concentrate mainly on the commercial bank; on the other hand, the risks of the commercial bank are mainly embodied in the credit risks. The purpose of this paper tries to set up the credit risks management model of commercial bank of our country and offer it a comprehensive and operable risk management frame for the risk precautions, according to the spirit of “the New Basle Capital Accord” and the modern credit risk management model. On this basis, investment decision, performance examining and assets pricing management of the bank are perfected. This paper is divided into five chapters. Chapter one introduces the background of the research, research approaches adopted by the author, and the innovation of the thesis. Chapter two provides the definition of the credit risks, carries on the survey to the management theory of the credit risks, and lays particular emphasis on the introduction of the New Basel Capital Accord. Chapter three provides details of structural models, macro factor models and actuarial models.The chapter four are focus of this paper. Chapter four discusses how to establish the credit management model in our country. On the basis of credit portfolio management, this chapter puts forward further improvement methods of banking operation management, thus to realize the goal of management of the commercial bank. Chapter five is the conclusion and prospect of this paper.
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