【摘要】：近年來,我國中小商業(yè)銀行(區(qū)域性銀行、城市銀行、村鎮(zhèn)銀行)大量涌現(xiàn),它們的信譽(yù)水平和資產(chǎn)質(zhì)量良莠不齊,在這種背景下,推動(dòng)商業(yè)銀行外部信用評(píng)級(jí)不僅具有必要性而且具有緊迫性。另一方面,近年來商業(yè)銀行紛紛在國內(nèi)證券市場(chǎng)上市交易,也使很多金融理論模型的應(yīng)用成為現(xiàn)實(shí),推動(dòng)商業(yè)銀行外部信用評(píng)級(jí)具有了更大的可行性。在全球經(jīng)濟(jì)復(fù)蘇放緩、國內(nèi)經(jīng)濟(jì)增長方式和結(jié)構(gòu)進(jìn)一步調(diào)整、大規(guī)模信貸投放導(dǎo)致信貸結(jié)構(gòu)失衡加劇和行業(yè)集中度風(fēng)險(xiǎn)上升的今天,認(rèn)真研究吸取國際評(píng)級(jí)制度的經(jīng)驗(yàn)教訓(xùn),完善我國銀行外部信用評(píng)級(jí)體系,促進(jìn)信用評(píng)級(jí)業(yè)健康發(fā)展,是一個(gè)既有理論意義,又有現(xiàn)實(shí)意義的課題。 眾所周知,要對(duì)商業(yè)銀行進(jìn)行外部信用評(píng)級(jí)首先要分析和度量商業(yè)銀行所面臨的各項(xiàng)風(fēng)險(xiǎn)。隨著金融市場(chǎng)的快速發(fā)展,傳統(tǒng)的信用風(fēng)險(xiǎn)度量方法及模型對(duì)信用風(fēng)險(xiǎn)的揭示已經(jīng)遠(yuǎn)遠(yuǎn)不能滿足現(xiàn)實(shí)的風(fēng)險(xiǎn)狀況,應(yīng)用現(xiàn)代信用風(fēng)險(xiǎn)度量方法和模型管理信用風(fēng)險(xiǎn)就顯得尤為關(guān)鍵。在幾種比較常見的信用風(fēng)險(xiǎn)度量模型中,鑒于KMV模型在企業(yè)信用風(fēng)險(xiǎn)評(píng)估方面的高效和實(shí)用性,該模型現(xiàn)在已被越來越多的投資公司使用。本文利用KMV模型對(duì)我國上市商業(yè)銀行面臨的信用風(fēng)險(xiǎn)進(jìn)行度量,以此作為商業(yè)銀行信用評(píng)級(jí)的參考角度之一,為我國的商業(yè)銀行外部信用評(píng)級(jí)體系的健全做出一些建議。 本文首先主要對(duì)研究背景和意義進(jìn)行簡(jiǎn)單闡述,并總結(jié)國內(nèi)外現(xiàn)有的學(xué)術(shù)文獻(xiàn),提出擬解決的主要問題和研究內(nèi)容。然后闡述了銀行信用評(píng)級(jí)理論和現(xiàn)行的評(píng)級(jí)方法,對(duì)我國目前商業(yè)銀行外部評(píng)級(jí)的評(píng)級(jí)主體、評(píng)級(jí)方法、評(píng)級(jí)指標(biāo)進(jìn)行介紹、歸類、比較和評(píng)價(jià)。又通過對(duì)KMV模型的理論基礎(chǔ)、基本框架及計(jì)算過程的介紹,對(duì)選取的我國十六家A股上市商業(yè)銀行的股票數(shù)據(jù)作為樣本,借助EXCEL和mathcad數(shù)學(xué)軟件進(jìn)行實(shí)證分析,運(yùn)用KMV模型比較它們各自的違約距離和預(yù)期違約概率,并對(duì)結(jié)果進(jìn)行比較分析,以此說明我國應(yīng)用KMV模型的可行性。最后總結(jié)我國目前的銀行業(yè)評(píng)級(jí)的問題并針對(duì)我國銀行信用評(píng)級(jí)的發(fā)展提出了相應(yīng)的對(duì)策和建議。
[Abstract]:In recent years, a large number of small and medium-sized commercial banks (regional banks, city banks, village banks) have emerged in our country. It is not only necessary and urgent to promote the external credit rating of commercial banks. On the other hand, in recent years, commercial banks have been listed and traded in the domestic securities market, which also makes the application of many financial theory models become a reality, which makes it more feasible to promote the external credit rating of commercial banks. At a time when the global economic recovery is slowing, the pattern and structure of domestic economic growth have been further adjusted, and large-scale credit lending has led to an increase in the imbalance in the credit structure and the risk of industrial concentration, we have carefully studied and learned from the experience and lessons of the international rating system, Perfecting the external credit rating system of Chinese banks and promoting the healthy development of credit rating industry is a subject of both theoretical and practical significance. As we all know, the external credit rating of commercial banks must first analyze and measure the risks faced by commercial banks. With the rapid development of the financial market, the traditional credit risk measurement methods and models have been far from satisfying the actual risk situation. The application of modern credit risk measurement methods and models to manage credit risk is particularly critical. In several common credit risk measurement models, the KMV model has been used by more and more investment companies in view of its high efficiency and practicability in enterprise credit risk assessment. This paper uses the KMV model to measure the credit risk faced by the listed commercial banks in our country, as one of the reference angles of the commercial banks' credit rating, and makes some suggestions for the perfection of the external credit rating system of the commercial banks in our country. In this paper, the background and significance of the research are briefly described, and the existing academic literature at home and abroad is summarized, and the main problems to be solved and the research contents are put forward. Then it expounds the theory of bank credit rating and the current rating method, introduces, classifies, compares and evaluates the main body, method and index of external rating of commercial banks in our country. Through the introduction of the theoretical basis, basic framework and calculation process of KMV model, the stock data of 16 A-share listed commercial banks in China are selected as samples, and the empirical analysis is carried out with the help of EXCEL and mathcad mathematical software. The KMV model is used to compare their respective default distance and expected default probability, and the results are compared and analyzed to illustrate the feasibility of applying the KMV model in China. Finally, this paper summarizes the problems of banking rating in China and puts forward corresponding countermeasures and suggestions for the development of bank credit rating in China.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.33;F224

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本文編號(hào)：2150230