商业银行信用风险度量及管理-技术经济及管理专业论文.docxVIP

内容提要信用风险是我国商业银行所面临的最重要的风险形式之一，它不仅直接影响 内容提要 信用风险是我国商业银行所面临的最重要的风险形式之一，它不仅直接影响 我国商业银行的经营和发展，还影响到我国的经济发展和社会稳定。与西方国家 相比，我国商业银行的信用风险管理水平处于一个较低的层次，依赖于单一的传 统信用风险分析技术。此外，我国己经加入世界贸易组织，这使得我国商业银行 面临越来越激烈的竞争。因此，加强信用风险管理、提高信用风险管理水平成为 各商业银行的当务之急。 本文在对目前比较有影响的现代信用风险度量模型进行分析和研究的基础 上，结合我国的实际情况，对如何加强我国信用风险量化分析和管理进行初探。 本文由四部分组成。第一部分首先阐述现代信用风险的基本概念及其带来的经济 后果，在此基础之上，阐述了信用风险管理的内涵以及近年来国际上在信用风险 管理方面的一些新发展；第二部分主要分析传统信用风险分析和管理技术：第三 部分对目前西方较为流行的现代信用风险度量模型进行研究，并运用其中的一个 模型对我国上市公司的信用状况进行了实证分析：第四部分根据前面的分析和研 究并结合我国信用风险管理现状，对构建我国商业银行的信用风险量化管理体系 进行初步设想，并提出相应建议， 关键词：信用风险风险度量风险管理 AbstractCredit Abstract Credit risk is one of the most important risks with which commercial banks have been confronted in oor count≯It affects not only the management of commercial banks directlN but also the development of economy and the stabilization of society．Compared with that of western countries，domestic current credit risk management is in a relatively low level，and just depends Oil traditional technique of credit risk analysis，In addition，China has entered WTO。which makes national commercial banks have to face more口话more competition．ft is crucial for them to raise the level ofcredit risk management． Based on the research of the modem models ofcredit risk measurement which aFe influential at present in West and combined with the situation of our countrN this paper make an elementarily investigation on how to strengthen the quantitative management of domestic commercial banks’credit risk．The paper consists of four parts．Part one first expatiates on the basic conception and the econotnic consequence of credit risk，and expounds the connotation of credit risk management and its up-to·date development． Part two mainly analyzes the traditional technique of credit risk analysis and management．Part three researches 0n the modern credit risk measurement models that are very popular in western countries，and empirically analyzes some companies’credit conditions by one of these models．Part four elementarily conceives a system a