發(fā)布時(shí)間：2018-01-12 10:37

  本文關(guān)鍵詞：巴塞爾協(xié)議Ⅲ下我國(guó)商業(yè)銀行信用風(fēng)險(xiǎn)研究　出處：《南京財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 巴塞爾協(xié)議Ⅲ 商業(yè)銀行 信用風(fēng)險(xiǎn) KMV模型

【摘要】：金融是現(xiàn)代經(jīng)濟(jì)的核心，在市場(chǎng)經(jīng)濟(jì)中發(fā)揮著越來(lái)越重要的作用，而占據(jù)金融主體地位的商業(yè)銀行更是政府調(diào)節(jié)經(jīng)濟(jì)的重要渠道。隨著經(jīng)濟(jì)和金融全球化進(jìn)程的不斷深入，我國(guó)商業(yè)銀行在國(guó)際舞臺(tái)上既面臨著機(jī)遇又面臨著挑戰(zhàn)，尤其是《巴塞爾協(xié)議Ⅲ》的出臺(tái)更是給國(guó)際商業(yè)銀行帶來(lái)了一場(chǎng)革命，使得國(guó)際商業(yè)銀行不得不面臨更大的困難。從我國(guó)商業(yè)銀行的角度分析，由于我國(guó)監(jiān)管部門對(duì)我國(guó)商業(yè)銀行監(jiān)管的要求要高于其他國(guó)家，所以短期內(nèi)我國(guó)商業(yè)銀行相比于其他國(guó)家商業(yè)銀行有明顯的優(yōu)勢(shì)，我國(guó)商業(yè)銀行應(yīng)該抓住這次機(jī)遇增強(qiáng)其在國(guó)際上的影響力，不過(guò)從長(zhǎng)期來(lái)看，我國(guó)商業(yè)銀行也將面臨著許多困難，如經(jīng)營(yíng)模式改革、信用風(fēng)險(xiǎn)的監(jiān)管、流動(dòng)性風(fēng)險(xiǎn)的預(yù)防等，我國(guó)商業(yè)銀行只有處理好這些問(wèn)題，才能戰(zhàn)勝對(duì)手。 本文以我國(guó)的16家上市商業(yè)銀行為研究對(duì)象，其中重點(diǎn)研究的是上市商業(yè)銀行的信用風(fēng)險(xiǎn)。本文首先總結(jié)了國(guó)內(nèi)外關(guān)于信用風(fēng)險(xiǎn)度量的各種研究，重點(diǎn)是各種度量模型的發(fā)展進(jìn)程，緊接著分析了《巴塞爾協(xié)議Ⅲ》的影響，其中包括對(duì)國(guó)際商業(yè)銀行和我國(guó)商業(yè)銀行兩個(gè)方面。論文的第三部分分析了我國(guó)商業(yè)銀行信用風(fēng)險(xiǎn)狀況，同時(shí)介紹了幾種重要的研究信用風(fēng)險(xiǎn)的模型，并且分析了各自的優(yōu)缺點(diǎn),尤其是KMV模型。在文章的第四部分作者對(duì)KMV模型進(jìn)行了修正，修正的重點(diǎn)是違約距離計(jì)算中長(zhǎng)期貸款的系數(shù)m，通過(guò)對(duì)不同m值的檢驗(yàn)，作者得出最佳的m值為0.3，在此基礎(chǔ)之上論文測(cè)算了我國(guó)上市商業(yè)銀行的違約距離，并且通過(guò)分析發(fā)現(xiàn)我國(guó)上市商業(yè)銀行的違約的可能性非常高。論文的最后一部分是政策建議部分，作者根據(jù)論文的分析有針對(duì)性的提出了以下幾點(diǎn)政策性建議：控制地方融資平臺(tái)信用風(fēng)險(xiǎn)，，完善信用風(fēng)險(xiǎn)管理體系，增強(qiáng)盈利能力，提高資本儲(chǔ)備，加強(qiáng)流動(dòng)性監(jiān)管。希望本文的研究能對(duì)《巴塞爾協(xié)議Ⅲ》的推行以及我國(guó)商業(yè)銀行的發(fā)展有一定的促進(jìn)作用。
[Abstract]:Finance is the core of modern economy, plays an increasingly important role in market economy, and occupy the financial subject position of commercial banks is an important channel for the government to regulate the economy. With the development of economic and financial globalization process, China's commercial banks in the international arena is facing opportunities and challenges. Especially "Basel 3 > has brought a revolution to the commercial bank, the international commercial banks have to face greater difficulties. From the analysis of China's commercial banks, due to China's regulatory requirements for commercial banks in China is higher than that of other countries, so in the short term than me commercial banks to commercial banks in other countries have the obvious advantage of China's commercial banks should seize this opportunity to strengthen its influence in the world, but in the long term, taking Ye Yin in China Banks will also face many difficulties, such as business mode reform, credit risk regulation and liquidity risk prevention. Only when these problems are handled well, can China's commercial banks overcome their opponents.
In this paper, 16 listed commercial banks in China as the research object, which focuses on the credit risk of listed commercial banks. This paper summarizes the research on credit risk measurement at home and abroad, focusing on the development process of all kinds of measurement model, then analyzes the influence of the Basel agreement > < III, including the international commercial bank and Commercial Bank of China in two aspects. The third part analyzes the credit risk of commercial banks in China, and introduces several important credit risk models, and analyzes their advantages and disadvantages, especially the KMV model. In the fourth part of the article the author modifies the KMV model. The key is the correction coefficient m default distance calculation of long-term loans, through the test of different m values, the author obtained the best m value is 0.3, on this basis the paper estimates listed The commercial bank's default distance, and through the analysis of China's listed commercial banks the possibility of default is very high. The last part is the policy recommendations according to the analysis of this part, the author puts forward the following suggestions: control of local financing platform credit risk, improve the credit risk management system. To enhance profitability, improve capital reserves, strengthen the liquidity supervision. I hope this research will have a certain role in promoting the "Basel accord > and the implementation of the development of China's commercial banks.

【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33

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本文編號(hào)：1413901