交通银行哈尔滨分行贷款风险预测方法研究-工商管理专业论文.docxVIP

摘要＼、／ 摘要 ＼、／ ＼ 随着我国金融体制改革的不断深化，原有的专业性银行正在向国有商业 银行转变。在转轨的过程中，商业银行的信贷资产风险日益扩大，大量不良 、 资产的形成已严重地影响了商业银行正常的运营。因此，研究如何建立起科 学、合理、有效的商业银行贷款风险预测方法，并据此加强贷款风险管理工 作是具有重要理论与现实意义的。? 本文以交通银行哈尔滨市分行背景材料为依托，全面地考察了其信贷资 产经营状况，分析了其贷款风险形成的原因。在深入研究德尔菲法、外推方 法、多因素相应关联效应的估计法以及蒙特卡洛数字仿真法等几种传统贷款 风险预测方法后，通过将马尔可夫状态转移模型与商业银行五级贷款分类管 理有机地相结合，提出了一种贷款风险预测的新方法，并对交通银行哈尔滨 分行的信贷工作进行了实证研究，分析了实证结果，评价了该方法的适用性。 在此基础上，本文在客观性、系统性、有效性、实用性、一惯性原则的指导 下，提出了应从建立完善的信贷风险管理制度、建立健全贷款风险管理的岗 位责任制和内部监督机制、建立贷款风险补偿机制、建立银行企业良好合作 关系等角度加强交通银行哈尔滨分行贷款风险管理工作的建议，以期为我国 商业银行贷款风险的管理做一些有意义的工作。 关键词 商业银行；贷款风险；马尔可夫状态转移模型；贷款分类管理 ，沁纠％范 ’、r --1-- AbstractWhen Abstract When financial system refotin is further carried out in our country, professional banks in the past are transforming to state—owned commercial banks． In this shunting process，credit risk of commercial banks is increasing with time going．A great number of questionable assets seriously threaten the routine work of commercial banks．Therefore，it is of great academic and realistic significance to establish scientific，reasonable and effective credit risk forecasting methods and strengthen credit risk management work by these means． In view of Bank of Communications Harbin Branch basic datum，this paper comprehensive analyzes its current operating conditions and main reasons leading to credit risk．On the basis of deliberating Delphi，Extrapolation，Multi— factors conjunction estimation，Monte Carlo number imitation and other traditional methods to forecast credit risk，this paper combines Markov state— transfer model with five Classes management in commercial bank credit risk and proposes a new method to forecast the risk．Moreover，this method is demonstrated in a concrete case—Bank of Communications Harbin Branch．This method’S result and applicability are analyzed．On this basis，under the guide of objectivity,systematization，validity，practicability and persistency，following countermeasures are suggested to strengthen credit risk management in Bank of Communications Harbin Branch and cont