商业银行同业客户授信模型研究.pdfVIP

金 论坛 融 2013年第3期（总第207期） 商业银行同业客户授信模型研究 程果琦 ［摘 要］本文基于普通机构客户最高授信额度测算值以及前台部门申请额度，构建了更适用于 银行同业客户的授信方法与模型。研究表明，商业银行的流动性风险往往先于倒闭风险而出现，其授 信测算值对此也更加敏感，因此流动性分析应成为同业授信审查的分析重点。在核定同业最高授信额 度的过程中，应重点考虑商业银行速动资产所形成的偿债资金规模及反映流动性风险的核心指标，在 授信结构的分析上，要重点考虑长期业务授信额度与客户长期偿债能力的匹配情况，在业务品种的控 制上，要结合业务风险特征、管理制度的完备程度以及市场环境的变化情况制定业务总量的限额。 ［关键词］商业银行；授信；同业客户；流动性；偿债能力；风险管理 ［文章编号］ （ ） ［ 分类号］ ［文献标志码］ 1009 - 9190 2013 03 - 0050 - 05 JEL G21 A A Study of the Credit Extension Model of the Bank Clients of Commercial Banks CHENG Guo-qi ［ ］ Abstract Based on the maximum amount of the credit extension for the common institutional clients and the application amount of the front desk, this paper constructs a model more suitable for the credit extension of the bank clients. The study of the paper shows that the liquidity risks of commercial banks often appear before the collapse risks and the calculation value of the credit extension is more sensitive to the liquidity risks than the collapse risks, so the censoring of bank credit extension should be fo－ cused on the liquidity analysis; the check of the maximum amount of the bank credit extension should mainly be focused on the size of the sinking fund formed by quick assets and the core indicators reflecting the liquidity risks of commercial banks; the structure analysis of credit extension should mainly be focused on the match of the credit extension amount of long-term busi－ ’ ness and the clients solvency of long-term debts; the control of the business varieties should consider the characteristics of business risks, the maturity degree of management system and the changes in market environment