【作者】 秦江波；

【导师】 王宏起；

【作者基本信息】 哈尔滨理工大学 ， 管理科学与工程， 2010， 博士

【摘要】 随着2007年次贷危机导致的国际金融危机继续深化,金融市场持续且大幅波动,实体经济不断恶化,各国采取了大规模救市行动。于是2009年巴塞尔委员会对新协议Ⅱ(巴塞尔新资本协议)进行了补充,其蕴涵了包括应对危机在内的全面风险管理理念。但从理论上看,学术界从微观层面开展的研究却显得有些不足。而且,我国金融体系仍以银行为主导,信贷业务成为银行主要收入来源的同时,相应的信贷风险也成为其面临的主要风险。这对2006年12月11日全面对外开放的我国商业银行风险管理技术和水平提出了严峻挑战。这也就使得信贷过程风险管理研究尤为迫切。本文在对商业银行信贷过程风险管理的研究背景,相关理论及国内外研究现状系统分析的基础上,从现实角度分析了商业银行信贷风险管理的现状及存在的问题。从商业银行信贷过程风险的特征和表现着手,提出商业银行信贷过程风险管理的概念及目标、风险管理原则、风险管理思想与框架和风险管理内容及重点。运用计量方法和神经网络原理,构建贷款前的信贷过程风险管理识别和量化体系。在对信贷风险识别基础上,遵循全面、开放和实用原则,结合定性和定量指标,构建Logit回归模型;根据Elman神经网络的专家思想、非线性以及泛化性,创建状态空间方程,确定相应的误差临界值和收敛速度,构建一个基于Elman神经网络的风险识别及评估模型,从而有效进行信用分类评级,精确预测信贷风险。结合中国国情,完善了贷前调查和审批制度。构建贷款后的信贷过程风险管理动态预警机制。从商业银行的角度,充分考虑财务和非财务因素,按照开放性原则、成本效益原则、系统性原则和预测性原则,构建信贷风险预警指标体系。应用AHP方法,通过构建指标层级结构和判断矩阵,确定各指标权重,同时结合贷款风险分类管理思想,构建信贷风险预警综合指数模型和风险预警系统。采用灰色理论,构建信贷风险动态预警模型。从贷后预警的制度层面,构建贷后检查制度、风险分类制度及风险预报制度。从风险补偿角度,构建不良资产管理体系。为了防范存量风险,从偿债能力角度,界定假设清算法的适用范围和清偿顺序,遵循各类资产和负债的评估原则及方法,按照清算步骤,对不良资产进行假设清算。从制度层面,构建涵盖管理、催收、绩效评价及成本控制在内的相当完善的不良资产保全体系。另外,对不良贷款增量风险控制也进行相应的研究。在动态监控过程中,从防范信用风险和操作风险等角度,提出商业银行完善银行G2B电子政务信息,分散和转移风险以及优化内部控制等有关策略。在上述理论研究基础上,以某国有商业银行为实例,运用商业银行信贷过程风险管理理论思想对其进行贷前风险量化、贷中风险预警及贷后不良信贷资产管理实证研究。本文针对商业银行信贷经营管理及其风险表现和特点,对我国商业银行的信贷过程风险管理理论思想与方法进行的系统研究,旨在为我国商业银行主动应对复杂多变的动态环境、改善信贷过程风险管理水平、有效防范和化解信贷风险提供科学的理论指导和方法策略支持。更多还原

【Abstract】 With the international financial crisis led by the Toshitsugu credit crisis of 2007continuing to deepen, and the financial markets continuing to fluctuate, the real economy becomes worse and worse, countries have adopted a massive rescue package. So in 2009 the new agreementⅡ(New Basel Capital Accord) were added by the Basel Committee, which includes comprehensive risk management idea of crisis response. But combined with theory, academic research carried out from the micro-level is some insufficient. At the same time, because Chinese financial system is still dominated by banks and credit business is the main source of income for banks, the corresponding credit risk has become the major risk it faces. This takes a severe challenge for Chinese commercial banks’risk management techniques and skills, which has been open up comprehensively since December 11, 2006. This makes it particularly urgent to study the credit process risk management.In this paper, on the basis of systematic analysis on the research background, the relevant theory and research situation of the credit process risk management of commercial banks, and from a realistic point of view, it analyzes the status quo and existing problems of the credit process risk management of the commercial banks. From the characteristics and performance of the process credit risk of the commercial banks, this paper puts forward the concepts and objectives, principles, ideas and frameworks, and the content and focus of the credit process risk management.The author uses the measurement method and neural network theory to build the identifying and quantifying system of the credit process risk management before loan. On the basis of credit risk identification, following a comprehensive, open, and practical principles, and combining qualitative and quantitative indicators, it builds the regression model of Logit ; based on expert thinking, non-linearness as well as the generalization of the neural network, it creates a state-space equation and determines the corresponding error critical value and convergence rate, builds a neural network-based risk identification and assessment model in order to effectively carry out the credit classification, and to accurately predict credit risk. Combining the national condition, it improves the investigation and approval system before loan.The author constructs the dynamic early warning mechanism after loan of the credit process risk management. From the perspective of the commercial bank, it takes full account of financial and non-financial factors, in accordance with the principle of the openness, cost-effectiveness, systematicness and predictability, building early-warning indicators of credit risk. With AHP methods, by building a hierarchy of indicators and assessment matrix to determine the index weights, and combined with the thinking of loan risk classification management, it builds comprehensive indicator models of credit risk early warning and risk early warning system. Using gray theory it builds a dynamic early-warning model of credit risk. In the system of early-warning after loan, it builds the inspection system, risk classification system and risk forecasting system after loan.From the perspective of risk compensation, it builds non-performing assets management system. To prevent the stock of risk, and from the solvency point of view, it defines the scope and settles the order of assuming settlement way, follows the principles and methods of the assessment of various types of assets and liabilities, in accordance with the steps of assuming settlement way to settle non-performing assets. From the institutional level, it builds well-established system of preservation of non-performing assets covering management, collection, performance evaluation and cost control. In addition, it also carries out the corresponding studies about the incremental risk control of non-performing loans. In the dynamic monitoring process, and from the view to prevent credit risk and operational risk, making it makes some strategies of commercial banks relating improving enterprise G2B e-government information, decentralization and transferring of risk, optimizing the internal control and others.Based on these theoretic studies, taking a state-owned commercial bank as an example, it carries an empirical research of the credit process risk management, which includes quantifying risks before loan, risk early warning in loan and bad credit asset management of after loan using theoretical thinking of the credit process risk management of the commercial bank.The systematic research, which includes commercial bank credit management, risk performance and characteristics, risk management theory, ideas and methods of the credit process of Chinese commercial bank, aims to provide scientific guidance in theory and support of methods and strategies for Chinese commercial banks to take the initiative to deal with complex dynamic environment, improve the level of the credit process risk management, and effectively prevent and dissolve the credit risk.更多还原