【作者】 梁兆平；

【导师】 章仁俊；

【作者基本信息】 河海大学 ， 产业经济学， 2003， 硕士

【摘要】 本论文分析了商业银行信用风险度量和管理的模型和方法，通过模型及方法的研究对我国国有商业银行的信用风险进行分析，同时提高企业、银行机构防范和化解信用风险的意识和能力，从而提升我国国有商业银行信用风险度量和管理水平，促进市场经济健康、稳定地发展。 论文首先阐述了信用风险的基本概念及其形成的原因，在此基础上对信用风险的经济后果进行了分析，包括信用风险对宏观经济和微观经济的影响。 接着对KMV模型和CreditMetrics模型的运作原理进行了介绍，并重点探讨了模型是如何对信用资产组合的信用风险进行度量，以及对信用资产定价、基于受险价值的投资决策以及利用内部信用风险度量模型进行监管等方面作了分析，提出基于我国商业银行信用风险实际的CreditMetrics模型，分析了该模型运用的基本条件和限制条件以及如何使用默顿定价模型对CreditMetrics模型分析结果进行检验。 随后针对我国商业银行信用风险的管理现状，对授信问题作了理论上的探讨，提出运用信用风险度量模型和方法构建风险预警系统及银行内部评级体系，。 最后探讨中国银行产业发展的若干思考，提出在进一步完善社会主义市场经济体系的过程中，如何构建具有中国特色的信用风险防范和管理体系、全面提高中国商业银行信用风险度量和管理水平，以及加强金融监管等对策。更多还原

【Abstract】 This dissertation analyses the models and methods of credit risk measurement and management on commercial banks, and analyses China’s commercial banks from research of credit risk measurement and management, at the same time enhance the ability and consciousness of preventing and digesting credit risk of enterprises and banks, and raises the level of China commercial bank’ credit risk measurement and management, and promotes the healthy development of China’s socialist market economy.Firstly, this dissertation expounds the basic definition of modern credit risk and the causes of leading credit risk based above contents, and analyses the economic consequence of credit risk in detail, including the impact of credit risk on macroeconomics and microeconomics.Secondly, this dissertation introduces the operation principles of KMV and CreditMetrics models, and emphatically probes into how the models to measure credit risk of assets portfolio, and analyses the applications in credit asset pricing, the investment decision based on VaR and the supervision by using internal credit risk measurement models, and advances CreditMetrics model based on conditions of China’s commercial banks, and studies fundamental conditions, limited conditions, and how to use Moutun’s pricing model testing results of CreditMetrics model.Thirdly, being aimed at credit risk management on present situation of China’s commercial banks, this dissertation studies awarding credit on theories, and advances using the models and methods of credit risk measurement and management to construct alerting risk system and inter grading system in banks.Lastly, this dissertation probes into several enlightenments from developing of China’s bank industrial, and advances in the process of improving China’s socialist market economy system how to build defense and administration system of Chinese characteristics, and comprehensively enhances the level of China’s commercial banks measurement and management for credit risk, and strengthens financial supervision, and so on.更多还原