国内商业银行信贷资产.docVIP

PAGE 商业银行信贷风险预警模型及其应用 PAGE 22 PAGE 17 摘要 随着我国银行业改革的不断深入，国内商业银行信贷资产的质量有了明显的改善，然而如何有效地控制授信客户的信贷风险，使得不良资产率保持在一个合理的水平，这仍旧是一个长期困绕商业银行的难题。通过开发一些新的信贷风险管理技术（如建立企业破产预警模型）作为辅助决策工具将能有效地提高商业银行的信贷风险管理能力，而对这一领域的研究，目前国内尚处于起步阶段。 本文在借鉴美国学者奥特曼(Altman)的多元Z值判定模型的基础上，采用统计学上的因子分析方法，建立了一种新的商业银行信贷风险预警模型，并把证券市场上的ST公司界定为“经营失败企业”，选取沪市52家ST公司及与之相对应的52家非ST公司共104家上市公司作为研究样本，在参考了财政部等国家四部委颁布的《国有资本金绩效评价规则》中工商类竞争企业效绩评价指标体系的基础上，通过统计学上的单变量T检验选择了8个财务比率作为判别指标，运用上述研究样本的判别指标数据对商业银行信贷风险预警模型进行了实证检验。 实证检验的结果显示，该预警模型具有较好的判定效果。同时由于该模型理论上具有合理性，实践上具有可操作性，故值得推广。 关键词:信贷风险管理，破产预测，因子分析 Abstract With the continuously deepening of China’s banking industry reform, the loan assets’ quality of domestic commercial bank has got clearly improved. However, it is still difficult for commercial banks in quite a long time to control effectively the loan risks of the customers and to keep the bad assets ratio on a reasonable level. It will strengthen the ability of credit risk management for commercial bank through exploring some credit risk management technology such as bankruptcy prediction model, and domestic commercial banks are still on the way in this area. Basing on the study of Altman’s multivariate Z-value discriminate model，this article establishes a new bankruptcy predicting model of corporation. Then it defines＂ST company＂in security market as ＂financial failure corporation＂and selects 104 corporations ( 52＂ST ＂companies and 52 Not ＂ST ＂companies in Shanghai security market ) as samples of study, and basing on the achievements evaluation system of commercial and industrial enterprises from “Regulations for Evaluation the Achievements of State-owned Equity” issued by the four central government ministrations including the financial department, also by using the single variable T test in statistics, eight financial ratios are selected and then using the samples’ data to verify the Commercial Bank Credit Risk Predicting Model. The