我国国有商业银行信用风险度量实证研究——基于credit metrics模型与压力测试分析-empirical study on credit risk measurement of state-owned commercial banks in china - based on credit metrics model and stress test analysis.docxVIP

摘要 摘要 万方数据 万方数据 摘 要 信用风险是目前我国商业银行风险管理最主要的任务和难题，随着我国利 率管制的放松，银行规模和业务的不断扩张，银行间竞争将加剧，将导致违约 情况的增加，商业银行面临的风险压力进一步加大。银行业客观度量商业银行 信用风险承受能力已经成为摆在银行自身和监管机构面前的急需解决的问题。 这就要求商业银行通过信用风险度量完善风险体制管理和度量方法，提高风险 防范意识。监管机构需要加强正确引导。从我国商业银行对风险度量的研究现 状来看，本文从宏观和微观两个方面对我国五大国有商业银行的信用风险进行 度量分析，对我国商业银行信用风险的度量研究具有一定的理论和现实意义。 本文首先阐述了信用风险的内涵和我国信用风险管理目前的现状。 其次，介绍了现代信用风险度量模型，就其各自的理论方法进行了在全面 分析，选择 Credit metrics 模型对我国五大国有商业银行信用风险进行了实例分 析。 再次，由于信用风险具有“厚尾”的特性，本文通过介绍了压力测试理论 对“厚尾”情况进行定量分析。 在论文的最后，引入不良贷款率作为中介指标进行宏观压力测试分析，对 我国五大国有商业银行信用风险外部冲击来源进行了实证研究。 关键词：信用风险；Credit metrics 模型；不良贷款率；宏观压力测试 II AB ABSTRACT ABSTRACT Now credit risk is the countrys main the management tasks and problems of commercial bank risk ,with the deregulation of interest rates and expanding the size of banks and businesses, the inter-bank competition will intensify, it leading to an increase of default, the risk of pressure faced by commercial banks to further increase. Banking objective measure of credit risk-bearing capacity has been placed in front of the bank itself and regulatory bodies need to solve the problem. This requires commercial banks improve risk measurement methods, raise awareness of risk prevention. Regulators need to strengthen the right guidance. From the study of the status of Chinas commercial banks in terms of risk measurement, this article from the macro and micro aspects of the credit risks of five state-owned commercial banks metric analysis, the measurement study of Chinese commercial bank credit risk has a certain theoretical and practical significance. This paper first describes the current status of Chinas credit risk management connotation and credit risk. Secondly, the introduction of modern credit risk measurement model for a comprehensive analysis of their respective theoretical approaches, select Credit metrics model to the five state-owned commercial bank credit risk of an illustrative example. Again, due to the credit risk with the fat tail feature, this paper introduces the theory of stress tests