本文選題：信用風(fēng)險(xiǎn)管理 + CPV模型��； 參考：《新疆財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：商業(yè)銀行是一國(guó)社會(huì)經(jīng)濟(jì)的血脈，它起著將社會(huì)生產(chǎn)所需要的資金分配到各個(gè)行業(yè)、生產(chǎn)部門的重要作用，對(duì)一國(guó)的經(jīng)濟(jì)發(fā)展影響十分巨大。信用風(fēng)險(xiǎn)隨商業(yè)銀行的產(chǎn)生而產(chǎn)生，并且時(shí)刻存在于商業(yè)銀行日常經(jīng)營(yíng)管理當(dāng)中，是影響商業(yè)銀行穩(wěn)健經(jīng)營(yíng)、健康成長(zhǎng)的重要風(fēng)險(xiǎn)之一，因此商業(yè)銀行信用風(fēng)險(xiǎn)管理一直是各國(guó)商業(yè)銀行日常經(jīng)營(yíng)管理中的重大課題。是否能有效管理信用風(fēng)險(xiǎn)影響著商業(yè)銀行的穩(wěn)健經(jīng)營(yíng)，，關(guān)系著國(guó)民經(jīng)濟(jì)的健康發(fā)展。 2008年爆發(fā)于美國(guó)的次貸危機(jī)在全球化的巨浪之下迅速席卷全球，給世界經(jīng)濟(jì)、金融市場(chǎng)的發(fā)展造成沉重打擊。人們開始重新認(rèn)識(shí)在全球化背景下金融系統(tǒng)穩(wěn)定的重要性，并紛紛開始加強(qiáng)本國(guó)商業(yè)銀行的信用風(fēng)險(xiǎn)管理。傳統(tǒng)的信用風(fēng)險(xiǎn)管理方法與手段已經(jīng)不能很好的滿足新形勢(shì)下信用風(fēng)險(xiǎn)計(jì)量與管理的要求，在此背景下，壓力測(cè)試方法開始受到重視，并且逐漸成為各國(guó)對(duì)本國(guó)商業(yè)銀行及金融機(jī)構(gòu)開展信用風(fēng)險(xiǎn)管理最有利的武器。 本文將從商業(yè)銀行信用風(fēng)險(xiǎn)管理的演變出發(fā)，全面地介紹各種信用風(fēng)險(xiǎn)管理手段、模型的功能和特點(diǎn)。最終結(jié)合我國(guó)商業(yè)銀行經(jīng)營(yíng)實(shí)際情況與業(yè)務(wù)特征選擇CPV模型作為本文信用風(fēng)險(xiǎn)計(jì)量模型，在確定模型后，本文初步選取GDP增長(zhǎng)率、財(cái)政支出額、全國(guó)房地產(chǎn)開發(fā)業(yè)綜合景氣指數(shù)、M2增長(zhǎng)率、社會(huì)消費(fèi)品零售總額、消費(fèi)者價(jià)格指數(shù)、一年期貸款利率、凈出口、一年期存款利率等作為模型中的解釋變量，之后通過平穩(wěn)性分析、多重共線性檢驗(yàn)和修正等方法確定GDP增長(zhǎng)率、財(cái)政支出額、全國(guó)房地產(chǎn)開發(fā)業(yè)綜合景氣指數(shù)、M2增長(zhǎng)率、一年期貸款利率和一年期存款利率作為文中的宏觀經(jīng)濟(jì)變量。并在此模型基礎(chǔ)上采用敏感性壓力測(cè)試法和情感性壓力測(cè)試法分別對(duì)我國(guó)商業(yè)銀行信用風(fēng)險(xiǎn)進(jìn)行測(cè)試。在壓力測(cè)試后，本文將對(duì)兩種壓力測(cè)試方法進(jìn)行比較，總結(jié)各自在運(yùn)用上的特點(diǎn)，并以此為依據(jù)給出了我國(guó)在推廣壓力測(cè)試方法過程中需要建立健全相關(guān)制度規(guī)范、增強(qiáng)壓力測(cè)試技術(shù)的可操作性、加強(qiáng)信用風(fēng)險(xiǎn)壓力測(cè)試結(jié)果的有效應(yīng)用、組建人才隊(duì)伍，加強(qiáng)對(duì)人才的技術(shù)培養(yǎng)等政策建議。
[Abstract]:Commercial banks are the blood of a country's social economy. They play an important role in distributing the funds needed for social production to various industries and production sectors, and have a great impact on the economic development of a country. Credit risk comes into being with the emergence of commercial banks and always exists in the daily management of commercial banks. It is one of the important risks that affect the steady operation and healthy growth of commercial banks. Therefore, credit risk management of commercial banks has been a major issue in the daily operation and management of commercial banks in various countries. Whether the credit risk can be effectively managed affects the steady operation of commercial banks and relates to the healthy development of the national economy. The subprime mortgage crisis that broke out in the United States in 2008 quickly swept the world under the huge wave of globalization and gave the world economy. The development of financial markets has dealt a heavy blow. People began to re-recognize the importance of financial system stability in the context of globalization, and began to strengthen the credit risk management of domestic commercial banks. The traditional methods and means of credit risk management have not been able to meet the requirements of credit risk measurement and management in the new situation. And it has gradually become the most favorable weapon for all countries to carry out credit risk management for their commercial banks and financial institutions. This paper will introduce all kinds of credit risk management methods from the evolution of commercial banks' credit risk management. The function and characteristics of the model. Finally, the CPV model is selected as the credit risk measurement model according to the actual operating conditions and business characteristics of commercial banks in China. After determining the model, this paper preliminarily selects the GDP growth rate and the amount of fiscal expenditure. The national real estate development industry comprehensive boom index M _ 2 growth rate, total retail sales of consumer goods, consumer price index, one-year loan interest rate, net export, one-year deposit interest rate as the explanatory variables in the model, After that, the growth rate of GDP, the amount of fiscal expenditure, the comprehensive boom index of the national real estate development industry and the M2 growth rate are determined by means of stability analysis, multiple linear test and correction, etc. One-year loan rate and one-year deposit rate are macroeconomic variables in this paper. On the basis of this model, the credit risk of Chinese commercial banks is tested by the sensitive stress test method and the emotional stress test method. After the stress test, this paper will compare the two kinds of stress test methods, sum up the characteristics of their application, and based on this, we need to establish and perfect the relevant system norms in the process of popularizing the stress test method in our country. Some policy suggestions such as enhancing the maneuverability of stress testing technology, strengthening the effective application of credit risk stress test results, setting up a team of qualified personnel and strengthening the technical training of talents are suggested.
【學(xué)位授予單位】：新疆財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33;F830.42

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