兴业银行信用风险评估与信用风险管理的研究

【作者】 蒋海燕；

【导师】 陈晓红；

【作者基本信息】 中南大学 ， 工商管理， 2006， 硕士

【摘要】 信用风险是金融机构面临的最主要风险，发达国家商业银行对信用风险的管理比较成熟，在实践和理论上已经形成相应的体系。相比之下，兴业银行的信贷资产质量问题成为制约兴业银行进一步发展的绊脚石，所以尽快降低兴业银行不良资产比率对银行业持续发展刻不容缓。并且兴业银行的信用风险管理体系和管理技术必须不断更新才能满足金融信用风险管理的要求。导致兴业银行资产质量出现风险的根本原因在于我国社会信用体系很不健全，银行对企业信用评估技术较落后，风险管理滞后于业务发展，因此面临信用风险暴露的危险，并承担了较多的信用损失。对兴业银行而言，建立科学的信用风险评价指标体系，检测企业信用等级发生变化并实时调整风险管理策略是很有必要的。本文从系统介绍信用风险管理的最新研究进展及国际活跃银行的管理状况出发，对比兴业银行的实践，从理论上分析了兴业银行建立信用风险评估系统的必要性。接着是建模分析，信用风险评估模型以兴业银行的贷款样本数据为基础，分别采用因子分析、线性判别分析和Logistic回归分析构建了兴业银行的信用风险评估模型，并通过了实践检验。因指标的偏相关率较高，本文只做了线性判别模型与Logistic回归模型。其中Logistic的判别准确率较高，多元判别稍微低一些，但两种模型的判别趋势基本相同，即对呆帐贷款的预测准确率较低，其原因是原样本对次级样本的划分不合理。希望这些模型对提高兴业银行信用风险分析能力与信用风险管理水平提供有益的借鉴。在信用风险实证检验的基础上，根据国际上现代商业银行信用风险评估的最新理论、技术和方法，结合兴业银行的实际状况，构建了适合兴业银行风险管理特点的信用风险评估体系和信用风险管理体系，希望此成果能对兴业银行在信用风险管理方面提供一些参考。更多还原

【Abstract】 The credit risk is the main risk which the financial institute faces.Commercial banks in developed countries are mature in credit riskmanagement, and they have formed theoretical and practicalcorresponding systems, in contrast, the bank credit property qualityquestion has become the restriction to further development of IndustrialBank CO., LTD.. Therefore, it is the most important thing to reduce theratio of its bad property. On the other side, the credit risk managementsystem and managing technology of Industrial Bank CO., LTD. have to beimproved continually, which would meet the requirement of fulfilling thecredit risk management. All of these defects are caused by the imperfectsociety credit system, advanced assessment technology and the riskmanagement lag in business development. So Industrial Bank CO., LTD.faces the large credit risk exposition and undertakes much credit loss.Therefore, it is extremely necessary for Industrial Bank CO., LTD. toestablish the reasonable credit risk assessment system, exam credit rankchanging of enterprises and adjust the real-time risk managementstrategy.This article begins with the introduction of the newest researchprogress on credit risk management and the management condition ofinternational active bank. After contrasting the difference between thetheory and practice of Industrial Bank CO., LTD., it points out thenecessary to establish the credit risk assessment system in theory.Then, this article refers to the constructing model analysis. The credit riskassessment model is based on Industrial Bank CO., LTD.’s loan sampledata, which is constructed by using the factor analysis method, thelinearity distinguishing analysis method and the Logistic regressionanalysis method separately. After examination, this article only using thelinear distinction model and the Logistic return model, because the targetpartial correlation rate is relatively high. Comparing with multi-factordistinction, the Logistic distinction accurate rate is higher, but the trend of both models is nearly the same, that is to say the forecasting accuraterate of bad debt loan is low. The reason is the unreasonable division ofthe original sample to the secondary sample. This artic looks forward toproviding some beneficial inspiration for enhancing the credit riskanalyzing and management level of Industrial Bank CO., LTD..On the foundation of credit risk real diagnosis examination,according to the latest theories、technologies and methods on credit riskappraisal level of modem commercial bank, and combining actualcondition of commercial bank in our country, it has constructed thecommercial bank credit risk assessment system and the credit riskmanagement system which fit for Industrial Bank CO., LTD.’s credit riskmanagement characteristics. This article hopes this achievement will behelpful for the Industrial Bank CO., LTD.’s credit risk management.更多还原