本文選題：商業(yè)銀行　切入點(diǎn)：信用風(fēng)險(xiǎn)　出處：《北京交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：2007年美國(guó)次貸危機(jī)引發(fā)的全球金融危機(jī)給世界經(jīng)濟(jì)造成了巨大的損失與打擊。對(duì)于此次金融危機(jī)發(fā)生的原因有很多,但究其根源,是商業(yè)銀行信用風(fēng)險(xiǎn)管理的失控。信用風(fēng)險(xiǎn)是現(xiàn)代商業(yè)銀行面臨的最重要的風(fēng)險(xiǎn),也是導(dǎo)致銀行破產(chǎn)的最常見(jiàn)的原因之一,而信用風(fēng)險(xiǎn)度量是其中最重要的一環(huán)。我國(guó)商業(yè)銀行在信用風(fēng)險(xiǎn)度量方面,與國(guó)外大型商業(yè)銀行相比,仍然存在著相當(dāng)多的不足。如何提升我國(guó)商業(yè)銀行的信用風(fēng)險(xiǎn)管理及度量水平,已經(jīng)成為我國(guó)理論界和銀行業(yè)共同關(guān)注致力解決的問(wèn)題。 為了尋找出適合我國(guó)銀行信用風(fēng)險(xiǎn)度量的方法,本文首先對(duì)信用風(fēng)險(xiǎn)和現(xiàn)有信用風(fēng)險(xiǎn)度量度量方法進(jìn)行了綜合論述,并且討論了各種傳統(tǒng)和現(xiàn)代度量方法的優(yōu)缺點(diǎn)。然后分析了我國(guó)目前商業(yè)銀行信用風(fēng)險(xiǎn)度量所存在的問(wèn)題,以及DEA模型在我國(guó)應(yīng)用的可行性。實(shí)證分析部分以我國(guó)20家上市公司(10家ST類公司和10家非ST類公司)為樣本,結(jié)合我國(guó)上市公司的特點(diǎn)和財(cái)務(wù)數(shù)據(jù)的實(shí)際情況,選取了適當(dāng)?shù)呢?cái)務(wù)指標(biāo)作為DEA方法的輸入和輸出變量,得出了各個(gè)企業(yè)的信用分?jǐn)?shù),并使用ST和非ST分類法來(lái)檢驗(yàn)實(shí)證結(jié)果,驗(yàn)證了超效率DEA信用評(píng)分方法的合理性和在我國(guó)的適用性。 本文的主要結(jié)論有：一是總結(jié)我國(guó)目前信用風(fēng)險(xiǎn)度量所存在的問(wèn)題,主要表現(xiàn)在：數(shù)據(jù)獲取困難,同時(shí)可信度不高,信用評(píng)級(jí)體系不夠完善,缺乏適合我國(guó)國(guó)情的度量模型,社會(huì)信用體系不健全,金融體系透明度不高和缺乏專業(yè)金融風(fēng)險(xiǎn)管理人才。二是通過(guò)對(duì)傳統(tǒng)和現(xiàn)代的各種主要信用風(fēng)險(xiǎn)度量模型進(jìn)行比較分析,結(jié)合我國(guó)商業(yè)銀行信用風(fēng)險(xiǎn)管理現(xiàn)狀和社會(huì)條件的制約,提出了應(yīng)用超效率DEA模型作為商業(yè)銀行信用風(fēng)險(xiǎn)度量模型的適用性和可行性。最后是通過(guò)實(shí)證研究證明超效率DEA評(píng)分模型可以有效評(píng)價(jià)我國(guó)上市公司的信用狀況。
[Abstract]:In 2007, the global financial crisis caused by the subprime mortgage crisis in the United States caused tremendous losses and blows to the world economy. There are many reasons for the financial crisis, but the root causes are investigated. Credit risk is the most important risk faced by modern commercial banks and one of the most common reasons leading to bank bankruptcy. The measurement of credit risk is the most important one. Compared with foreign large commercial banks, China's commercial banks in terms of credit risk measurement, How to improve the level of credit risk management and measurement of commercial banks in China has become a common concern of the theoretical circle and the banking industry. In order to find a suitable method for measuring the credit risk of Chinese banks, this paper firstly discusses the credit risk and the existing methods of credit risk measurement. It also discusses the advantages and disadvantages of various traditional and modern measurement methods, and then analyzes the problems existing in the credit risk measurement of commercial banks in China. And the feasibility of the application of DEA model in China. The empirical analysis is based on the sample of 10 St companies and 10 non-St companies of 20 listed companies in China, combined with the characteristics of listed companies in China and the actual situation of financial data. The proper financial index is selected as the input and output variables of DEA method, and the credit scores of each enterprise are obtained, and the empirical results are tested by using St and non-St classification. It verifies the rationality and applicability of super efficiency DEA credit scoring method in our country. The main conclusions of this paper are as follows: first, it summarizes the problems existing in the measurement of credit risk in our country, mainly in the following aspects: difficulty in obtaining data, low credibility, imperfect credit rating system, and lack of measurement model suitable for our country's national conditions. The social credit system is not perfect, the financial system is not transparent and lack of professional financial risk management personnel. Combined with the current situation of credit risk management of commercial banks in China and the restriction of social conditions, This paper puts forward the applicability and feasibility of using super-efficiency DEA model as the credit risk measurement model of commercial banks. Finally, it proves that the super-efficiency DEA scoring model can effectively evaluate the credit status of listed companies in China.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33

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