【作者】 林芳；

【导师】 何宇；

【作者基本信息】 福建师范大学 ， 工商管理（专业学位）， 2019， 硕士

【摘要】 贷款收入是目前中国商业银行最重要的利润来源,贷款信用风险度量和控制对商业银行的盈利与发展至关重要。伴随着我国经济迈入新常态,竞争激烈的工商企业经营环境使商业银行面临的信用风险复杂程度不断加深。识别、防范和管理控制商业银行信贷风险对商业银行的生存与发展愈发迫切和重要。本文运用KMV模型度量马尾区商业银行授信渔业企业信用风险,分析我国商业银行信用风险产生的具体原因,并对商业银行企业贷款信用风险管理提出相应的对策建议。本文采用定性分析与实证研究相结合的方法。首先,介绍四种现代信用风险度量工具,通过分析模型的优缺点结合实际选择出最适合本文研究对象的信用风险度量模型——KMV模型。其次,通过分析现行商业银行信用风险度量方法为实证研究找到切入点。再次,介绍马尾区商业银行授信渔业企业基本情况、负债情况及度量方法。渔业企业的经营受自然气候的影响,其经营风险相比其他行业具有更大的不确定性和波动性,由此也使商业银行的风险识别和控制面临更大的困难。最后,运用KMV模型对马尾区商业银行授信渔业企业信用风险进行实证分析。实证结果显示在12个样本企业中,信用表现不佳企业违约距离都小于信用表现较好企业,即信用表现不佳企业的违约风险较大。因此,KMV模型能够反映出企业信用水平之间的差异,对商业银行度量渔业企业信用风险具有较强的预警作用。渔业企业的经营特点要求商业银行的信用风险度量工具具有前瞻性、动态性。为了改善渔业企业风险度量效果,我国商业银行必须基于传统信用评估方法,引进新型成熟的信贷风险量化模型。商业银行通过掌握企业特点和行业情况运用成熟的量化模型优化数据指标,使其在渔业企业信用风险度量和测算方面更加直接、有效和便捷。在实证结果的基础上结合我国实际情况,提出以下政策建议:1.建立信用评价系统流程,加强信用风险分析识别。2.加强企业盈利波动的关注,动态调整信用风险点。3.降低信用信息搜寻成本,引入第三方信用评估机构。更多还原

【Abstract】 Income from loans is currently the most important source of profit for Chinese commercial banks,the measure and control of credit risks of loans are critical for the profitability and development of commercial banks.With Chinese economy stepping into the new norm,the fiercely competitive operating environment for industrial and commercial enterprises makes the complexity degree of credit risks faced by commercial banks continuously deepen.The identification,prevention,management and control of the credit risks of commercial banks become increasingly urgent and important for the survival and development of commercial banks.This thesis applies the KMV model to measure the risks of credit that commercial banks in Mawei Region grant to fishery enterprises,analyzes the specific causes of the credit risks of Chinese commercial banks,and proposes corresponding countermeasures and suggestions for the credit risks management of enterprises loans of commercial banks.This thesis adopts the method combining qualitative analysis and empirical research.Firstly,it introduces four types of modern credit risk measurement instruments,and selects,through combination of the advantages and disadvantages of analysis model,the credit risk measurement model best suiting the research object in this thesis---KMV Model.Secondly,it finds the entry point for empirical research by analyzing the current credit risk measurement method of commercial banks.Thirdly,it introduces the basic conditions,liabilities and measurement method of the fishery enterprises that the commercial banks in Mawei Region grant credit to.The operation of fishery enterprises is affected by natural climate,its operating risks have higher uncertainty and fluctuation compared with that in other industries,therefore,it also makes commercial banks face more difficulty in risk identification and control.Lastly,it applies KMV model to make empirical analysis of the credit risk of the fishery enterprises that the commercial banks in Mawei Region grant credit to.The empirical result indicated that among the 12 sample enterprises,the default distances of the enterprises with poor credit performance were all lower than that of the enterprises with better credit performance,meaning that the enterprises with poor credit performances have higher risk of default.Therefore,the KMV model could reflect the difference among enterprises in credit level,therefore having relatively strong forewarning function for commercial banks’ measurement of the credit risks of fishery enterprises.The operating characteristics of fishery enterprises require the credit risk measurement instruments of commercial banks to be forward looking and dynamic.In order to improve the risk measurement effect of fishery enterprises,Chinese commercial banks must introduce new and mature credit risk measurement model based on traditional credit evaluation method.Through applying mature quantitative models to optimize data indicators by knowing enterprise characteristics and industrial situation,the commercial banks will be more direct,effect and convenient in their measurement and calculation of the credit risks of fishery enterprises.The following policy suggestions are proposed on the basis of empirical results and integrating China’s reality: 1.Establish the credit evaluation system process,strengthen the analysis and identification of credit risks.2.Strengthen the attention paid to enterprise profit fluctuation,dynamically adjust credit risk points.3.Reduce the searching cost of credit information,introduce third-party credit evaluation institutions.更多还原