【作者】 黄飞雪； 苏敬勤；

【Author】 Huang Fei-xue,Su Jing-qin (Faculty of Management and Economics, Dalian University of Technology, Dalian 116024,Liaoning,China)

【机构】 大连理工大学管理与经济学部；

【摘要】 针对人民币汇率变动对上市银行自身信用风险影响问题,采用基于Merton期权定价原理的KMV模型定量分析方法,以招商、浦发、华夏、民生、深发2002-2007年日收盘价和半年报及年报相关财务数据为研究对象,由于中国实际违约事件统计数据缺失,提出用违约距离作为衡量银行信用风险指标,得五行2002-2007每半年违约距离。结果表明:汇改后,招商、民生2005下半年违约距离比上半年分别降71.8%和34.2%;浦发,华夏和深发因存在滞后性当期变化不大,但2006和2007年违约距离均大幅下降,比汇改前四个半年度分别下降5.92,7.39和5.76,总体上各行违约距离均大幅下滑,也即汇改使各行信用风险显著增大。从重要信贷客户,外汇资产负债业务规模和结构及银行外汇结算差额三方面讨论了信用风险增大的原因并给出了各自相关建议。更多还原

【Abstract】 For the effect of appreciation of RMB on Chinese listed banks’ credit risk. Upon using the KMV model which is based on Merton’s theory of asset pricing, according to the investigation to the closing quotation price and relational finance data from semiyearly and yearly report of five Listed banks(China merchant bank, Pudong Development bank, Huaxia bank,Shenzhen Development bank, Minsheng Corp.LTD )from2002 to 2007, as lack of real dedault case date,then just use Default-distance to index the credit risk get their 2002-2007 every half years’ Default-distance. China merchant bank and Minsheng Corp.LTD 2005 last-half year’s Default-distance decrease 71.8% and 34.2% compared with father-year, Pudong Development bank, Huaxia bank,Shenzhen Development bank change less than former because of hysteresis,but2006 and 2007 their Default-distance all declinging acute,compared with before appreciation decrease 5.92,7.39,5.76. The result considering that after the appreciation,the Default-distance of every banks turn declining,increasing its credit risk . From important customers of credit, foreign exchange assets and liabilities and business size and structure of bank foreign exchange settlement difference between the three areas discussed the reasons for the increased credit risk and gives the lines of their respective recommendations.更多还原