發(fā)布時(shí)間：2018-11-16 11:58

【摘要】：在國(guó)內(nèi)經(jīng)濟(jì)下行背景下,全國(guó)各地信貸企業(yè)擔(dān)保圈風(fēng)險(xiǎn)相繼爆發(fā),擔(dān)保圈風(fēng)險(xiǎn)已成為商業(yè)銀行區(qū)域性、系統(tǒng)性信貸風(fēng)險(xiǎn)管控的重點(diǎn)。借鑒大量國(guó)內(nèi)外文獻(xiàn)的研究成果,從商業(yè)銀行視角出發(fā),將矩陣識(shí)別與擔(dān)保圈網(wǎng)絡(luò)的脆弱性分析結(jié)合,提出了一種改進(jìn)的脆弱性分析模型,測(cè)度了風(fēng)險(xiǎn)閾值的合理邊界。從三個(gè)階段分析和測(cè)度,第一階段通過矩陣識(shí)別出所有的信貸企業(yè)擔(dān)保圈,第二階段借鑒商業(yè)銀行風(fēng)險(xiǎn)評(píng)價(jià)體系進(jìn)行風(fēng)險(xiǎn)分類,第三階段通過脆弱性分析預(yù)測(cè)出擔(dān)保圈內(nèi)違約風(fēng)險(xiǎn)最大的信貸企業(yè)。調(diào)用某省商業(yè)銀行信貸企業(yè)數(shù)據(jù)庫,利用該銀行SAS審計(jì)信息分析系統(tǒng),繪制出2016年該省某經(jīng)濟(jì)開發(fā)區(qū)內(nèi)所有信貸企業(yè)的擔(dān)保圈關(guān)系圖,并進(jìn)行風(fēng)險(xiǎn)識(shí)別和預(yù)警,提出風(fēng)險(xiǎn)化解措施。實(shí)證結(jié)果與該省商業(yè)銀行信貸監(jiān)測(cè)結(jié)果一致,該方法實(shí)現(xiàn)了定性和定量的有機(jī)結(jié)合,具有一定的實(shí)際應(yīng)用意義和學(xué)術(shù)參考價(jià)值。
[Abstract]:Under the background of the downtrend of domestic economy, the risk of guarantee circle of credit enterprises all over the country erupts one after another, and the risk of guarantee circle has become the focal point of commercial banks' regional, systematic credit risk control. From the perspective of commercial banks, a modified vulnerability analysis model is put forward to measure the reasonable boundary of risk threshold by combining matrix identification with vulnerability analysis of guarantee ring networks from the perspective of a large number of domestic and foreign literatures. From the three stages of analysis and measurement, the first stage through the matrix to identify all credit enterprise guarantee circle, the second stage of the commercial bank risk assessment system for risk classification, In the third stage, the credit enterprises with the biggest default risk in the guarantee circle are predicted by vulnerability analysis. By using the bank's SAS audit information analysis system, the guarantee circle diagram of all credit enterprises in a certain economic development zone of the province in 2016 is drawn, and the risk identification and warning are carried out. The measures to resolve the risk are put forward. The empirical results are consistent with the results of credit monitoring of commercial banks in this province. This method realizes the organic combination of qualitative and quantitative methods and has some practical significance and academic reference value.
【作者單位】： 建設(shè)銀行山西省分行審計(jì)部;太原理工大學(xué)經(jīng)濟(jì)管理學(xué)院;山西財(cái)經(jīng)大學(xué)統(tǒng)計(jì)學(xué)院;
【基金】：國(guó)家自然科學(xué)基金青年項(xiàng)目“省域裝備制造業(yè)綠色創(chuàng)新效率評(píng)價(jià)、空間關(guān)聯(lián)及提升路徑研究”(41401655) 山西省軟科學(xué)研究項(xiàng)目“金融發(fā)展、資源稟賦與區(qū)域承接產(chǎn)業(yè)轉(zhuǎn)移差異研究”(2016041016-2)
【分類號(hào)】：F832.4

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