【作者】 周江涛；

【导师】 白暴力；

【作者基本信息】 西北工业大学 ， 系统工程， 2007， 博士

【摘要】 信用风险是我国商业银行的主要风险，目前我国商业银行的信用风险管理水平偏低，传统的信用风险管理缺乏主动性的理念，信用风险管理缺乏系统性，导致我国商业银行信贷资产质量普遍较差，严重影响了银行的收益。本文把商业银行信用风险管理内容系统化，树立商业银行信贷风险管理的系统观念，即将商业银行信用风险管理过程视为一个系统，并按照商业银行信用风险管理与控制的工作流程，将其分为授信前管理与授信后管理两个子系统，通过对两个子系统以及两个子系统之间的关系进行深入研究，来分析商业银行法人客户的信用风险管理全过程。论文主体部分包括五个部分：第一部分，绪论。阐述本研究的理论及实践意义、前人研究成果述评、本文研究技术路线、论文的主要工作及创新点等。第二部分，法人客户信用风险的单一信号识别。本章研究的识别信号是在现有研究的基础上，重点分析企业财务杠杆、规模、违约行为三个信号的识别作用及内在机理，解释商业银行在选择客户时集中在“资产负债率低、信誉记录好的大型企业”的倾向的内在合理性。第三部分，基于财务信息和距离判别法的信用风险识别模型研究。本章是本文的核心章节之一，探讨组合财务信息对信用风险的识别模型。笔者从互联网上收集并整理80家上市公司的1999年及2000年的6类财务数据，即总资产周转率、总资产增长率、总资产报酬率、固定资产周转率、资产负债率、净资产增长率。并以此作为基础数据，运用距离判别法建立信用风险甄别模型。第四部分，商业银行授信后信用风险管理研究。笔者运用问卷调查的方法，通过对某家股份制商业银行2005年全年发生的所有重组类贷款进行调研和分类研究分析。获得了商业银行的授信后管理的一些感性和理性的研究结论。在此基础上，作者进一步分析了我国商业银行授信后管理普遍存在问题的表象以及深层次原因，并给出了加强商业银行授信后信用风险管理的对策建议。第五部分，全面引入信用风险因素的绩效考核文化。从理论上深入分析了在风险调整后的业绩衡量模型(RAPM)这一共同主题下的的各种具体模型变体，讨论了RAROC模型在商业银行绩效考核方面的运用原理及方法，并对RAROC模型应用于我国银行业的前景进行了阐述和分析。更多还原

【Abstract】 Credit risk is the predominant of all the risks commercial banksconfront in China. And at present, the level of credit risk management ofcommercial banks is relatively inferior. The lack of sense of initiativeand systematic planning in traditional credit risk management; Results inthe low quality of the credit property of the commercial banks and thegreat decrease of the benefits of the banks.This paper intends to systemize the content of the credit riskmanagement of commercial banks, to set up a systematic sense of creditrisk management, which the process of credit management ofcommercial bank can be considered as a system which can be dividedinto two subsystems according to the procedure of managing andcontrolling credit risks of commercial bank. The paper fully analyze theprocedure of credit risk management of commercial banks’ legalcustomer through further studying the two subsystems and the relationsbetween them.This paper includes five chapters.ChapterⅠ. Introduction. It mainly presents the theories on which thestudy is based the practical significance of the study, summaries of therelated literature, research methods to be imployed, and created pointsthrough the study.ChapterⅡ. Demonsrrating. Analyzing the identification of single signal of credit risk of legal customers. Based on the achieved researchresults in the signal identification. The paper mainly analyzes the effectof the identification and its inherent mechanism of financial level, scaleand breach of contract, explains the inner reasonableness of the trend ofpreferring to focus on large enterprises as commercial banks’ customerswho have lower asset-liability ratio and better credit record.ChapterⅢ. Analyzing identifying model of credit risk. This chapteris one of core chapters in this paper. First of all, it studies identificationmodel of credit risk by combining financial data. The author acquiredand collected six groups of data of 100 listed companies in 1999 and2000 which cover total asset turnover ratio, total asset growth ratio,total asset return ratio, fixed assets turnover ratio, debt ratio, net assetgrowth ratio. Based on these basic data, then this paper sets up a modelof analyzing the credit risks by using distance discriminant method.ChapterⅣ. Studying the credit risk management after loan ofcommercial bank. By using a questionnaire whichwas designed tosurvey all the Reorganized loans in 2005 of one Joint - stock commercialbank and analyze their classification, some inductive &rational researchresults have been acquired about the management after loan ofcommercial bank. Then the phenomenon of a universal problems in themanagement after loan of commercial bank and their related causes havebeen further analysed. And the relative suggestions on how to enhance the management the credit risk after loan of commercial bank.ChapterⅤ. Introducing performance examination of credit risk. Thepaper fully analyzes performance examination model of risk-adjustedbased on theory, and discuss action principle and method of RAROCmodel and its prospec in applying as well.更多还原