【作者】 王晶；

【导师】 郭万山；

【作者基本信息】 辽宁大学 ， 数量经济学， 2016， 硕士

【摘要】 当前我国的经济发展正面临着极大的压力,受到国际金融危机的影响,外需相对不足,而受到经济新常态政策的影响,内需也短期不足。而这些需求的减少和产能过剩之间的尖锐矛盾也就导致了企业的经营困难加大,信贷风险增高。党的十八届三中全会明确指出“完善金融市场体系”,并对这一目标做出相应安排。目前,我国间接融资比重达到80%以上,银行业资产占全部金融资产的比重超过90%。所以,商业银行体系的稳定与健康运行对我国金融体系健康发展起着决定性作用,而如何防范、控制商业银行信用风险就成为了我国商业银行风险管理中的重中之重。本文分别建立起基于CPV模型改进后的多元回归模型和压力测试,试图通过这两种方法的结合,从宏观视角对我国商业银行信用风险进行实证研究,并进一步分析在极端情况下银行抵御信用风险的能力。这不仅有利于在当前市场环境中引导银行合理设置,有效避险,同时对于未来金融业的繁荣发展也具有广泛而深刻的社会意义。基于CPV模型的带滞后项的多元回归模型是文章的主体,也是本文创新点所在。笔者将其滞后项引入,一是考虑银行对宏观经济的回馈效应,二是显示宏观经济变量前后期相互影响,更符合实际,并取得了良好的实证拟合结果。该模型将宏观经济变量对不良贷款率的影响进行了定量解释。之后在此基础上所做的压力测试,分析了模拟的极端情景下不良贷款率的改变,进而研究商业银行抵御风险的能力。研究结果表明：CPI、GDP、LR3个宏观经济变量对商业银行信用风险影响较大,符合客观经济情况；房地产方面由于国家监管和市场经济运作协调发展,价格控制较好,并未对商业银行信用风险产生较大影响；压力测试结果得出四大行都具备抵御极端情况下信用风险的能力。更多还原

【Abstract】 Current our country’s economic development is facing great pressure. Subject to the impact of the international financial crisis, the relative lack of external demand. Due to the influence of normal economic policy, domestic demand is in the short term. The sharp contradiction between the demand and the reduction of excess capacity gave rise to the enterprise’s operating difficulties and increased credit risk. The party’s the third Plenary Session of the 18th CPC Central Committee clearly pointed out that the perfect financial market system, and make the appropriate arrangements for this goal. At present, the proportion of indirect financing in China reached more than 80%.Banking assets accounted for more than 90% of the total financial assets. So the healthy development of China’s economic and financial system depends on stability and the healthy operation of the commercial banking system. To guard against and control credit risk of commercial banks became the most important in risk management of commercial banks in China.This paper builds up improved multivariate regression model that based on CPV model and pressure test. Trying to through the combination of the two methods, this paper uses our country commercial bank credit risk for empirical research from the macro perspective, and further analysis the ability of banks to resist credit risk in extreme cases. This is not only conducive to the current market environment to guide banks to set reasonable, while also has a broad and profound social significance to the future development of the financial industry’s prosperity.The multiple regression models with lag that based on CPV model is the main body of the article and the innovation of this thesis lies. The author introduces its lag items, one is to consider the feedback effect of the bank to the macro economy, and the other is to show the mutual influence of the macroeconomic variables. So the model achieved good results. The model can explain the impact of macroeconomic variables on the rate of non-performing loans. After that, the pressure test analyzes the change of the rate of bad loans in the extreme situation and the ability of commercial banks to resist risks.The results showed that:CPI, GDP, LR three macroeconomic variables on credit risk of commercial banks influence is bigger, conforming to the objective economic situation; due to national regulation and the operation of the market economy, the price of real estate is well controlled. It did not produced great influence on credit risk of commercial banks; stress test results obtained in four rows have ability to resist the risk of credit.更多还原