联系我们

论文查询结果	返回搜索

论文编号：	5459
作者编号：	1120070729
上传时间：	2013/6/8 13:13:02
中文题目：	我国商业银行信用风险管理中的还款意愿研究
英文题目：	Research on Repayment Willingness in Credit Risk Management of Commercial Bank in China
指导老师：	张玉利
中文关键字：	还款意愿 测度 信用风险 Logistic模型
英文关键字：	repayment willingness, measurement, credit risk, Logistic model
中文摘要：	还款意愿与还款能力是商业银行信用风险两大风险源。我国作为征信体系尚未完善的转型经济体，还款意愿在遭致信用风险方面的作用更突出，金融机构的专家应该加强对还款意愿重视与管理。但就如下基本问题：还款意愿遭致商业银行信用风险的机制，还款意愿与还款能力因素的关系，如何测度还款意愿以及如何从数量意义上研究还款意愿所遭致的信用风险等，现有的相关文献尚未展开深入的研究。本文结合曾经盛行一时的逃废银行债务，就关于还款意愿的这些基本问题及其在信用风险中的作用机制进行了尝试性研究。本文首先在详细研究逃废债务形式和特征的基础上，对还款意愿的基本概念进行了重新表述，对还款意愿和还款能力的关系也进行了较为深入的比较分析；对还款意愿发生作用的原因进行了较为详细深入的研究。本文接下来使用层次分析法的权重设定思想方法，为每个因素的权重进行较为科学合理的设定。并在遵循科学性和客观性原则的基础上邀请商业银行公司业务部门和信贷业务部门的专家为每个因素下的各个条目进行打分，从而完成还款意愿的测度问题。在实证方面，选择Logistic模型作为实证分析的基本模型方法，结合财务数据，对某家商业银行的95家借款企业进行了实证检验。主要发现与结论如下：第一，还款意愿概念可以重新表述为无论借款企业是否具有充足的还款能力，借款企业清偿到期债务的主观意愿程度。研究发现，还款意愿在给商业银行造成信贷损失可能性方面是可以独立发挥作用的。还款能力的削弱甚至丧失是驱动还款意愿起作用的重要因素，但不是唯一因素。总之，在理论意义层面上，还款意愿具有独立效应，同时它与还款能力又具有交互效应。第二，本文在研究还款意愿问题程度的各种表现形式的基础上，将影响还款意愿的因素归结为四个主要方面，分别为借款企业的先前经验、借款条件、公司治理结构以及主要的社会关系等四个方面，并提出了本文要加以测度或检验的六个假设。通过使用文献论证方法和博弈论分析方法，本文研究了这四个因素在影响还款意愿上的作用机理。从而为测度还款意愿以及相关的实证研究打下较为坚实的理论基础。第三，在测度还款意愿的实证研究中发现，由于各方面此消彼长的影响，先前经验对借款企业还款意愿的影响并不像理论所讨论的那样明显；商业银行股份制改革完成后，风险管理意识的增强，风险管理水平的提高以及制度的完善，大多数借款企业在借款条件都有了积极的表现，还款意愿问题程度也有了明显的改善；但商业银行风险管理水平的提高并没有影响到借款企业的公司治理结构和主要社会关系。总之，商业银行风险管理水平的提高对还款意愿仍然具有非常明显的调节效应；借款企业的公司治理结构和主要社会关系是一个影响还款意愿非常重要的因素。第四，在还款意愿遭致贷款违约的实证研究方面，根据回归结果发现，还款意愿独立发生作用的假设是成立的，不仅具有统计意义上的显著性，还具有经济意义上的显著性；长期还款能力与还款意愿的交互效应不具有显著性；短期还款能力虽然独立发生作用的效应不明显，其与还款意愿的交互效应比还款意愿的独立效应更加显著。还款意愿在不同的行业所遭致的信用风险方面具有普遍性。总之，我国商业银行应该加强对还款意愿的管理；鉴于短期还款能力在引致还款意愿方面具有十分显著的交互效应，我国商业银行对借款企业的短期还款能力要更加关注。本文还就将还款意愿纳入商业银行对借款企业信用评级的可能性进行了适当的分析。本文的研究价值与创新之处体现在以下几个方面：第一，基于借款企业逃废债务的重大事实及其表现形式，探讨了影响还款意愿的因素以及这些因素与还款意愿的作用机理。第二，借助于层次分析法中的权重设定方法，结合专家打分，初步解决了对还款意愿的测度问题。第三，将测度好了的还款意愿纳入到Logistic模型，研究了还款意愿对违约概率的影响，其中主要验证了还款意愿的独立效应及其与还款能力的交互效应。
英文摘要：	Repayment willingness and repayment capacity are two major risk sources of commercial bank credit risk. In china, as a transition economy in imperfect-credit system, repayment willingness takes a prominent part in incurring credit risk. So the attention and management of this factor should be strengthened by the experts in financial institutions. But existing literatures are short of in-depth study on the following basic questions：mechanism of credit risk of commercial bank occurred by repayment willingness; the quantitative relationship between repayment willingness and repayment capacity; how to measure repayment willingness and how to study credit risk occurred by repayment willingness in the quantitative meaning. Combining with evading bank debt prevailed ever; this paper takes a tentative study on some basic issues of repayment willingness and the mechanism in credit risk. Based on studies of evading debts forms and characteristics in detail, this paper re-interprets the basic concept of the repayment willingness and undertakes a relatively thorough comparative analysis on the relationship between repayment willingness and repayment capacity. This paper next sets each factor’s weight scientifically and reasonably in using the weight setting method of the analytic hierarchy process. Following the scientific and objective principle, the author invited the experts of company business department and credit business department in the commercial bank to mark credit for each factor for completing the measure problem of repayment willingness. In the empirical study, this paper takes an empirical test of the 95 enterprises of a commercial in selecting Logistic model as the basic model, combining with the related financial data. Main findings and conclusions are shown as below: Firstly, the repayment willingness conception can be rephrased as the subjective willingness of the borrower repaying maturing debts regardless of whether the borrowing enterprise has adequate repayment capacity. It is shown in study that repayment willingness can independently play a role on the possibility of credit loss caused of commercial banks. Weakenness or loss of repayment capacity is an important factor in driving the repayment willingness to cause credit rsik, but not the only one factor. In short, theoretically, repayment willingness has an independent effect and a mutual effect with repayment capacity. Secondly, based on the study of the various manifestations of the problem degree of repayment willingness, this paper divides the main factors of repayment willingness into four aspects, respectively the borrowing firm's previous experience, the loan conditions, the structure of corporate governance and the main social relations. Then it puts forward six hypotheses to measure or test. By using existing literature and game theory, this paper researches how these four factors affect repayment willingness. These studies lay a solid theoretical foundation on measuring repayment willingness and related empirical research. Thirdly, it is found in the empirical research measuring repayment willingness that, thanks to some factors playing passive roles and the othe factors playing active roles, previous experience of borrowing enterprise does not take so obvious effecs as discussed in theory. After the completion of the shareholding system reform of commercial banks, with the awareness of risk management enhancing, the level of risk management raising as well as the system improving, most of borrowers have a positive performance in borrowing conditions, and the problem in repayment willingness has also been significantly improved. However, the raising level of risk management of commercial banks does not affect corporate governance structure and social relations of the borrowers. In short, the improvement of the level of risk management still takes more obvious adjustment effect on repayment willingness. corporate governance structure and social relations of the borrowers are two importment factors affecting repayment willingness. Lastly, in the empirical research on repayment willingness occurring credit defaults, according to the regression results, some important conclusions are obtained: the hypothesis that repayment willingness factors take independent part in incurring credit risk is formed, not only having a significant effect in statistical sense,but also in economic sense; the mutual effect of the long-term repayment capacity and repayment willingness is not significant; although independent effect of short-term repayment capacity is not obvious, the interaction effect of it and repayment willingness is more significant than the independent effect of repayment willingness. Repayment willingness takes a universal part in credit risk of different industries. Commercial banks in China should strengthen the management in repayment willingness. In view of the short-term repayment capacity a much significant effect on repayment willingness, commercial banks in China should pay more attention to short-term repayment capacity of borrowing enterprises. This paper also will carry out a proper analysis of the possibility of putting repayment willingness factors into the loan business credit rating in the commercial banks. According to these conclusions, for credit risk management of commercial banks, repayment willingness is of great significance. Chinese commercial banks should strengthen management of the repayment willingness. Compare to the countries in developed credit system, our country commercial bank should pay more attention to short-term repayment ability of enterprises. This paper also undertakes an appropriate analysis on the likelihood of putting repayment willingness factors into the loan business credit rating in the commercial banks. The values and innovations of this research are reflected in the following aspects. Firstly, combined with the important reality and various manifestations of the evasion of bank debts, this paper discusses factors of repayment willingness and the machanism on these factors and repayment willingness. Secondly, with the help of using the weight setting method of the analytic hierarchy process, combined with expert scoring, the paper has initially solved the problem of measuring repayment willingness. Thirdly, the measure of repayment willingness is put into the logistic model, researching impact of repayment willingness on default possibility where it mainly verifies the independent effects of repayment willingness and interaction between repayment willingness and repayment capacity.
查看全文：	预览  下载(下载需要进行登录)