商业银行传统贷款信用风险管理.docxVIP

内容摘要 本文在对我国商业银行传统贷款信用风险管理方法和以 KMV CreditMetrics 、CPV 为代表的现代贷款信用风险管理模型进行比较的基础上，力图通过建立 CreditRisk+模该文档为文档投稿赚钱网作品，版权所有，违责必纠 型来弥补它们的缺陷。根据我国的实际情况，用贷款风险度来替代模型中违约概率的方 法对CreditRisk+模型进行了改进，并用算例检验了这一改进的可行性，从而得出了 CreditRisk+模型对数据的依赖性低、处理能力强、操作比较简单等优势。但是 CreditRisk+模型在我国商业银行贷款信用风险管理应用中也存在不少的困难，如银行 的组织机构不健全、信用评级系统和企业信息数据库不完善等。文章最后就针对这些问 题提出改进信用风险管理机构、大力发展信用评级系统、完善客户数据库系统等对策建 议。该文档为文档投稿赚钱网作品，版权所有，违责必纠 关键词 商业银行；信用风险；信用风险管理模型； CreditRisk+模型 ABSTRACT Nowadays, Chi nas banking in dustry is faced with a huge credit risk loa ns, but commercial banks are still mainly using traditional management methods in risk management, while the international advaneed credit risk management model is less used. In this paper, by comparisoning Chinas commercial banks on traditional lending credit risk management methods and the KMV, CreditMetrics, CPV loa ns represe nted by the moder n credit risk management model, we are trying to establish CreditRisk + model to make up for their shortco min gs. Accordi ng to Chin as actual con diti ons, we are using credit risk to replace the probability of default to improving CreditRisk+ model , then using an example to test the feasibility of this improveme nt, so as to arrive at the adva ntages such as low data-depe ndent, process ing capabilities, and relatively simple operati on. But there are a lot of difficulties to use CreditRisk + model in Chin as commercial bank credit risk man ageme nt, such as banking orga ni zatio ns do not sound, credit rat ing systems and corporate in formatio n databases leaves much to be desired. In the last part of the article, we are givi ng some coun termeasures and suggestions to solve these difficulties,such as improving risk management of credit in stituti ons, develop ing credit rati ng system and impro ving the customer database system.该文档为文档投稿赚钱网作品，版权所有，违责必纠 KEY WORDS Commercial Bank； Credit Risk； Credit Risk Management Mode； CreditRisk+ Model该文档为文档投稿赚钱网作品，版权所有，违责必纠 TOC \o 1-5 \h \z 绪论 1 ㈠研究背景 1 ㈡国内外研究现状 1 ㈢研究内容与框架 2