【作者】 董冉冉；

【导师】 赵新顺；

【作者基本信息】 河南大学 ， 金融学， 2007， 硕士

【摘要】 信用是现代市场经济的重要特征,因而契约就成了现代经济活动有序进行的重要基础之一。与之对应的是,作为主导信用体系的银行信用成为影响经济运行的一个至关重要的方面,银行信用风险既是现代经济中最为重要的风险,也是商业银行经营过程中最突出、最严重、最普遍的风险。发达国家信用风险分析方法早已经从主观分析方法和财务比率评分法转向以多变量,依赖于资本市场理论和计算机信息科学的动态计量分析方法为主的趋势发展。[0]而目前我国银行机构主要使用的信用风险评估方法缺乏定量分析,对衍生工具、表外资产的信用风险以及信用集中风险的评估尚属空白,更没有集多种技术于一体的动态量化的信用风险管理技术。如何量化信用风险已成为当今风险研究领域最具现实意义也最具挑战性的课题。论文系统地讨论分析了西方信用风险量化的理论和方法,通过对一个典型模型—KMV模型进行实证分析,得出该模型能较好的反映我国商业银行信用风险状况,并在此基础上设计了符合我国实际的信用风险计量模型的因素指标体系,试图在我国信用风险量化管理方面进行探索性研究,缩小该领域在研究应用方面与国外的差距。文章着重研究了现代信用风险量化方法。首先对比分析了新旧巴塞尔协议对国际银行业信用风险量化的规定,提出信用风险度量的若干可能方法。在介绍分析了现代信用风险量化模型构成的因素以及计量原理的基础上,研究了影响深远的三个典型风险计量模型,即CreditMetrics模型、CreditRisk+模型和KMV模型。通过对这三种模型各自的特点进行对比分析,指出在我国目前条件下KMV模型将会有较好的应用前景。第三部分,应用KMV模型对我国15家上市公司股改前后的信用状况进行了实证分析,结果较为理想。最后文章探讨了我国在应用这些风险量化模型时所应具备的微观条件与宏观环境。更多还原

【Abstract】 Credit is the basis of modern market economy.The economic activity takes the contract as the foundation to engage in the production and the transaction more and more universally, guarantees orderly move of the economy.The bank credit, as the leading credit of the system, is the key aspect in the economy,so the credit risk is the most important risk in modern economy, and also becomes the most prominent, concentrated, and rigorous for a commercial bank.The methods of credit risk researching in developed countries has changed from financial ratio grading to multi-variable and dynamic analysis based on capital market theory and computer information science, but in China most of banks evaluate credit risk by the methods which lack quantitative analysis.In addition, the banks in China ignore the credit risk of out-table asset and the evaluation of concentrative risk, and can’t apply the integration skills of multi-technology to credit risk, the quantification of the credit risk has become the most challenging topic of risk researching area.This thesis researches the theory and methods of credit risk quantification comprehensively and systematically, Based on an empirical model it draws that the KMV model can well explained the Chinese commercial bank’s credit risk, and designs the factors indicator system of the quantitative model with the realities in China.An exploratory research was carried out on the credit risk quantification management, attempts to reduce the disparity in this research and application with the overseas.The thesis mainly discusses the modern quantitative methods of credit risk.It firstly analyses the regulations in the old and new Bassel Agreement on the credit risk quantification of the international banking, discusses some probable approaches of the credit risk quantification.Then the paper introduces the factors that make up the modern modes of credit risk quantification and the basic theory of measurement, discusses three most influential models worldwide—CreditMetrics, CreditRisk+ and KMV, based on those up-mentioned.After comparing their advantages and disadvantages respectively, the author draws the conclusion that KMV has better prospect under current situation in China.In the third part, KMV is applied to undertake credit analysis about the situations of 15 companies listed in the stock market before and after the stock-system reform and gets rather ideal result.The ending part discusses the Micro-and macro-environment of these models when applied in China.更多还原