【作者】 吴慧强；

【导师】 冯邦彦；

【作者基本信息】 暨南大学 ， 金融学， 2006， 博士

【副题名】理论与实证研究

【摘要】 金融是现代经济的核心,而商业银行体系又是金融体系的核心。商业银行作为经营货币的特殊企业,其风险属性是与生俱来的。我国商业银行的金融风险管理问题不仅是经济、金融理论界的重要研究课题,同时也受到社会各界的广泛关注。 论文按照经典的风险管理理论模式进行研究。首先,论文对我国商业银行的金融风险进行风险识别研究,了解商业银行金融风险的本质、特征、形成机理、传导方式和路径。然后研究了商业银行金融风险的测量理论,探讨了我国商业银行金融风险的测量方法、工具及技术,并从银行失败的角度对银行金融风险的传导及测量进行了分析。在研究商业银行金融风险及其成因和传导机制的基础上,研究了定性主导商业银行风险管理模型和定量主导的商业银行风险管理模型,其中重点对Z值模型和KMV模型的原理进行介绍并采用10家上市公司的财务数据和股票交易数据对模型进行了实证分析。随后发展了风险管理模型,建立了风险溢酬模型并进行了实证分析。并结合我国实际,分析了在我国商业银行风险管理中存在的问题,并对模型在我国的应用前景进行了探讨。 论文采用了理论分析与实证分析相结合的研究方法,实践性强,其研究成果具有一定的可操作性和前瞻性。本文分析认为,防范银行金融风险的有效办法是构建有效的风险管理系统。风险管理模型对商业银行信用风险管理发挥非常重大的作用;巴塞尔新资本协议在加强金融风险管理,为商业银行带来了新的风险和挑战。实证分析的结果表明Altman的Z值模型操作简便,具有较强的预测能力和较高的实用价值,但其判别临界值需要根据中国实际进行调整;KMV模型计算得出的违约距离和理论EDF对上市公司的信用状况有良好反映。违约距离能随着股市数据的不断更新而实时调整,对上市公司的实时信用状况考察具有良好的效果。KMV模型是我国商业银行的风险管理实践从定性主导向定量主导进行过渡,加强我国商业银行信用风险管理的可行之选;我国商业银行可以通过完善数据库,建立适合我国国情的商业银行风险管理模型等一系列方法提高我国商业银行的风险管理水平。此外,本文建立的风险溢酬模型也是我国商业银行可以采用的风险管理工具。更多还原

【Abstract】 The finance is the core of the modern economy, but the commercial bank system is the core of the financial system. The commercial bank is the special business enterprise of the management currency, its attribute is native. The financial risk management problem of the our country commercial bank not only is the important research topic of the economy theories field, but also is extensive concern by social public.This thesis is based on the classical risk management theory model ,namely through the basic process that first to identify the risk and then to evaluate the risk followed by risk management policy .Firstly, through the study of financial risk of commercial banks ,including its essential, characteristic, forming mechanism, mode and way of conducting ,the thesis give a full study on risk identification. Secondly, It investigates investigate the qualitative leading management model and the quantitative leading management model of the credit risk, especially introduce the theory of the Z-score Model and the KMV model. We also analysis the financial statement and the stock exchange data of the 10 listed companies. Finally based on status and the major problem of the risk management in our country, we raise the significance of enhancing and consummating of the management of credit risk.Through the above investigation, we draw the conclusions as below: First, the risk management model has an important effect on the management of the commercial bank. Second, the new Basel Capital accord brought new risk and challenge to the commercial bank in enhancing the management of financial risk, especially the credit risk.Through the result of the analysis on the real case, we can see that: first, the Z-score Model of Altman is easy to handle, which is effective in forecasting and practicing. But we have to adjust the threshold recognizing according to the situation of China. Second, the Distance-to-Default and the Expected Default Frequency which can be calculated by the KMV model have a good reaction in the credit status of the listed companies. The Distance-to-Default can be adjusted according to the data of the stock exchange market, which is effective in reviewing real time credit status of the listed companies. The KMV model is the feasible choose for China to transit the credit risk management from qualitative leading to quantitative leading. Chinese commercial bank can enhance the risk management level by setting up a consummate data base and a management model fitted to the situation of China.更多还原