【作者】 王宇；

【导师】 孙伟；

【作者基本信息】 哈尔滨理工大学 ， 会计学， 2016， 硕士

【摘要】 商业银行在现代金融环境中起到了至关重要的作用,同时,他们也面临着诸多风险,其中包括具有影响力和破坏力的市场风险和随着金融市场日益变化而加剧的操作风险。但是,信用风险仍是商业银行面临的核心风险,巴塞尔协议III将信用风险列入商业银行管理的核心内容。当经济形势发生改变时,人们对未来经济发展的预期也随着改变,商业银行债务人的行为也会随着发生改变。由于借款双方“信息不对称”,这很容易发生“道德风险”影响金融体系的稳定。本文介绍了信用风险的主要内容和特点,以及在西方风险管理中被广泛采用的四个信用风险评价模型。通过对这四个模型的比较分析,确定最适合我国商业银行信用风险管理模型:KMV模型。本文还介绍了KMV模型的基本理论原理期权定价理论;KMV模型的假设和参数以及模型的运算过程。并根据我国的基本国情和我国中国特色金融市场的特点。对KMV模型中的所选取的部分参数进行必要的修正,使之能够更好地在我国应用。为了证明KMV模型在我国商业银行信用评价中的实用性,本文选取2014年在A股上市的41家ST公司和的41家非ST公司作为样本,根据这两类上市公司2014年的财务数据和沪深两地交易所2014年的历史股价,运用KMV模型进行实证分析。实证结果证明修正后的KMV模型是适合我国商业银行的信用风险评价模型。最后,文章根据之前的研究成果,为我国加强信用风险管理提出了建议。本文研究以KMV模型在我国的适用性为侧重点,重点研究了KMV模型在商业银行上市公司客户的信用风险管理。并且根据我国信用风险管理体系的特点对KMV模型进行修正,使它能够更好地在我国应用,为构建我国信用风险管理体系提供借鉴。更多还原

【Abstract】 The commercial bank system has played an increasingly significant position in the modern financial field. Meanwhile, there are various kinds of risks, which couldn’t be thoroughly eliminated, especially including the destructive market risk and rising operation risk. However, the credit risk is the most serious risk being considered by banks. In addition, according to the Basel III, the management of credit risk should be the core content in the commercial banking supervision system. It’s obvious that the economic conditions not only contribute to the changes of prospected development but also impact on the behavior of Commercial Bank’s debtors. Furthermore, because of the information asymmetry between banks and debtors, there has been a rising possibility that moral hazard does occur to have a negative impact on the financial system.This paper mainly introduces the substance and characters of credit risks, as well as 4 popular modern assessment models of the credit risk. According to the comparison among these models, it’s proved that the KMV model would be the most accurate one to measure the credit risk of the commercial banking system in China. The option pricing theory, as the basic theory and principle, have been minutely discussed and studied in this research. In specific, both assumptions and parameters of this evaluating model have been explained and considered in particular. What’s more, it’s apparent to learn the calculating process of the KWM model in this research. In order to optimize this model in Chinese banking system, all parameters have been amended logically. The aim of this essay is to verify the practicability of KMV model about evaluating the Chinese special situation. As a consequence, this study selects both 41 listed companies under special treatment and 41 normal public companies, from the China A share market in 2014, as the example. According to the different financial figures and the history stock prices in the specific research year, it’s undoubted that the KMV model actually could be a proper methodology so as to assess the credit risks in Chinese commercial banking system. Last but not the least, this research puts forward many reasonable suggestions for supervision organizations to manage the credit risks.As a summary, this essay treats the practicability of KMV model for the Chinese market as the research emphasis. In addition, the public company customers’ credit risk management under the KMV model should be the crucial portion in the study. According to the amendment of the KMV model under the Chinese banking criteria, this essay is supposed to increase the practicability of the research methodology and to provide references for the establishment of the credit risk management system.更多还原