基于KMV模型的我国商业银行信用风险研究-金融学专业论文.docxVIP

摘 要 我国的金融市场虽然经过了多年发展，但在利率市场化，风险管理等方面仍处 于起步阶段，以银行为主的金融机构仍然是企业融资的主要渠道。对信用风险的准 确度量，既是商业银行对风险的识别、衡量、控制的保障，也是金融监管的基础。 传统的信用风险管理手段已经不能当今国际经济发展的现状，更不能满足对于 风险量化分析和科学管理要求。与西方国家的商业银行风险管理水平相比，我国商 业银行信用风险管理的工作仍相对滞后。我国商业银行的内部评级系统更多的是对 客户的筛选和风险的预警，在风险量化管理方面与国外水平仍有较大差距。因此， 随着金融体制改革和市场开放步伐的加快，我们需要对信用风险管理重新定位，建 立适用于我国国情的风险量化测度模型，为我国商业银行防范风险、稳健经营提供 基础。 本文以商业银行信用风险测度和管理为研究方向，对商业银行传统和现代信用 风险管理方法进行了研究与对比，重点分析 KMV 模型，结合我国的实际情况对模型 进行可能的修正，使之适合我国的现状，并以上市公司的数据对模型的预测效果进 行实证分析,对其结果加以解释分析，说明修正后的模型对我国上市公司信用风险具 有明显的识别功能，最后，提出相应的政策建议并展望未来的应用前景。 关键词：KMV 模型,违约距离,违约概率,信用风险 Abstract Although the financial market in our country has developed for many years,the work about interest marketization and risk management is still in its initial stage,and the financial agents represented by commercial banks are still the main financing source for enterprises.The accurate measurement of credit risk is not only the prerequisite for commercial banks’ risk recognition and risk control,but also the foundation of finance monitoring. Traditional way of credit risk management is not suitable for the global economic development and cannot meet the demand for quantification analysis and management of credit risk.Compared with western commercial banks,banks in our country are still lagging behind as to the credit risk mangement.With the reform of finance system and opening up of the market,we need to reevaluate our credit risk management system,and establish the risk quantification and measurement that suitable for our country,laying the foundation for the risk control and steady management for banks in our country. The dissertation is focused on the credit risk measurement and management,presenting the traditional and modern credit risk management methods,mainly analysing the KMV model and modifying the model so it can be used in our country.The empirical analysis about the listed country shows that this model can recognise the credit risk of the listed companies in our country effectively.At the end of this dissertatio