关于国内商业银行信用风险管理的研究.pdfVIP

摘要 近年来,大量经济学文献讨论了各种各样的风险问题,其中信用风险因其 代表性而成为关注的焦点。信用风险既是一个行业问题,同时也是一个社会问 题。因此,信用风险管理不仅是各国商业银行的内部管理事务,而且也是一个 需要社会共同参与的系统性工程。把信用风险量化一直是国际银行业努力的方 向,近年来随着金融技术的进步以及各项金融衍生品的诞生,这一领域的研究 取得了突破性的进展,并且极大地提高了商业银行的风险管理能力。 本文简要叙述了信用风险理论,并在此基础上详细介绍了部分信用风险管 理模型以及对其在我国的适用性进行分析,并提出了一个改进建议,着重介绍 了灰色聚类法,运用我国 20 家公司数据对该模型进行了具体实例分析,通过 与大公国际的评级结果对比,发现灰色聚类法有较强的可用性。这也是本文的 创新所在,避免了以往方法对数据的严格性以及处理数据的复杂性,比较合适 我国目前数据缺乏的情形;在文章的昀后 部分对商业银行的信用风险管理提出 了应逐步完善对银行信用数据库的建设,推进银行信用风险量化进程,全面开 展银行全面风险管理,注重对借款人项目级别的评定,从而减少不良贷款率的 建设性意见。 由于目前的信用风险评估模型都是基于西方的市场状态创建的,而我国正处 于市场经济的形成阶段,与西方市场存在差异,因此西方技术在我国的实际运 用还受到制约,在对信用风险管理方法应用时应结合我国国情,运用合理的方 法或将方法进行一定的修正,从而降低我国银行业的信用风险。 关键词:信用风险;商业银行;灰色聚类法;信用风险度量模型 Abstract In recent years, a large amount of economics literature has discussed various issues of risks, among which finance risk has become a focus because of its typicalityFinance risk is not only an industry issue, but also a society issue. Hence, credit risk management is not only an internal management affair of business banks in every country, but also a systemic project that needs to be participated in by the whole society. Because the current evaluation models of credit risk are built basing on the state of western markets, moreover, China is on the formation phase of market economy at the moment and has gaps comparing with western markets, therefore, western technology should have some restrictions in the practical application of China. It should be improved external environment continually. At the same time, it should enhance the credit risk evaluation technology level of business banks gradually It briefly describes the theory of credit risk in this paper, and on this basis, detailed the theory principles and main content about some of the credit risk measurement methods, and focuses much on the Grey Cluster Method. It also uses the data of 20 companies in China to check the model, and then contrasts with the ratings of Dagong Global Credit Rating Company, finding that the Grey Cluster Method