本文選題：信用風(fēng)險(xiǎn)限額 + 經(jīng)濟(jì)資本��； 參考：《山東大學(xué)》2012年碩士論文

【摘要】：銀行是經(jīng)營(yíng)風(fēng)險(xiǎn)的企業(yè),承擔(dān)風(fēng)險(xiǎn)是銀行存在之源,管理風(fēng)險(xiǎn)是銀行生存之本,中國(guó)農(nóng)業(yè)銀行2010年4月公布了董事會(huì)通過(guò)的以實(shí)施新資本協(xié)議為主線的首份全面風(fēng)險(xiǎn)管理體系規(guī)劃,這標(biāo)志著農(nóng)行在強(qiáng)化全面風(fēng)險(xiǎn)管理上邁出了關(guān)鍵性步伐,該規(guī)劃對(duì)農(nóng)行未來(lái)三年全面風(fēng)險(xiǎn)管理工作作出框架性安排,總體目標(biāo)是在未來(lái)三年,以實(shí)施巴塞爾新資本協(xié)議為主線,建立適應(yīng)現(xiàn)代商業(yè)銀行需要的全面風(fēng)險(xiǎn)管理體系。信用風(fēng)險(xiǎn)管理作為全面風(fēng)險(xiǎn)管理的重要組成部分,是解決銀行資本的有限性與業(yè)務(wù)發(fā)展無(wú)限性之間矛盾的有效工具,是合理配置資源、提高銀行資產(chǎn)組合收益的關(guān)鍵。信用風(fēng)險(xiǎn)限額管理是信用風(fēng)險(xiǎn)管理的重要手段,代表了銀行在信貸業(yè)務(wù)中所能容忍的最大風(fēng)險(xiǎn)額度,它是一種基于風(fēng)險(xiǎn)計(jì)量的管理模式,是銀行經(jīng)營(yíng)戰(zhàn)略、政策導(dǎo)向及資本配置的綜合體現(xiàn),是外部監(jiān)管的要求,更是信用風(fēng)險(xiǎn)管理精細(xì)化的發(fā)展方向,綜合體現(xiàn)了銀行的經(jīng)營(yíng)戰(zhàn)略、政策導(dǎo)向以及資本配置,代表了當(dāng)今信用風(fēng)險(xiǎn)管理的專(zhuān)業(yè)化、精細(xì)化和系統(tǒng)化發(fā)展方向。 本文認(rèn)為,隨著科技不斷進(jìn)步,農(nóng)行山東分行的信用風(fēng)險(xiǎn)管理能力逐漸增強(qiáng),但由于在組織架構(gòu)、授權(quán)管理、信用風(fēng)險(xiǎn)計(jì)量、信用風(fēng)險(xiǎn)管理文化方面比較落后,信用風(fēng)險(xiǎn)限額管理沒(méi)有執(zhí)行到位,進(jìn)而得出結(jié)論,建立山東農(nóng)行的信用風(fēng)險(xiǎn)限額管理體系和培育先進(jìn)信用風(fēng)險(xiǎn)管理文化。 本文主要有如下創(chuàng)新：首先,通過(guò)現(xiàn)有農(nóng)行的風(fēng)險(xiǎn)計(jì)量及經(jīng)濟(jì)管理模型,對(duì)目前的信用風(fēng)險(xiǎn)限額管理體系豐富完善,對(duì)所有信貸經(jīng)營(yíng)機(jī)構(gòu)實(shí)行客戶(hù)、行業(yè)、地域的總量信用風(fēng)險(xiǎn)限額管理；其次,結(jié)合信用風(fēng)險(xiǎn)經(jīng)濟(jì)資本管理的知識(shí),控制各行、各行業(yè)信貸投放行為,達(dá)到收益覆蓋風(fēng)險(xiǎn)的目的；最后,進(jìn)一步優(yōu)化現(xiàn)有的授信額度計(jì)算公式,并考慮客戶(hù)的實(shí)際需求。
[Abstract]:Bank is an enterprise operating risk, taking risk is the source of bank existence, management risk is the basis of bank survival. In April 2010, the Agricultural Bank of China announced the first comprehensive risk management system plan adopted by the board of directors to implement the new capital agreement, which marks the key step in strengthening the comprehensive risk management of the Agricultural Bank of China. The plan provides a framework for the overall risk management of the bank in the next three years. The overall goal is to establish a comprehensive risk management system to meet the needs of modern commercial banks in the next three years and to implement the new Basel capital agreement. The effective tool for the contradiction between the limited capital and the unlimited business development is the key to rationally allocate the resources and improve the income of the bank's asset portfolio. The credit risk quota management is an important means of credit risk management, which represents the maximum amount of risk tolerated by the bank in the credit business. It is a management based on the risk measurement. The model is the comprehensive embodiment of bank management strategy, policy orientation and capital allocation. It is the requirement of external supervision and the development direction of credit risk management. It embodies the management strategy, policy orientation and capital allocation of the bank comprehensively, which represents the specialization, refinement and systematization of credit risk management.
With the continuous progress of science and technology, the credit risk management ability of the Shandong branch of the Agricultural Bank of China is gradually strengthened. However, the credit risk limit management is not in place because of the organizational structure, the authorization management, the credit risk measurement, the credit risk management culture, and the credit risk limit management is not in place. Then the credit risk limit of the Shandong Agricultural Bank is set up. Management system and cultivation of advanced credit risk management culture.
This article mainly has the following innovations: first, through the existing agricultural bank's risk measurement and economic management model, the current credit risk quota management system is rich and perfect, and the total credit risk limit management of all credit management institutions is carried out by customers, industries and regions. Secondly, the knowledge of the credit risk economic capital management is used to control the various types of credit risk. In the end, we will further optimize the existing formula for the credit line and consider the actual needs of the customers.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.2

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