【作者】 楼燕芳；

【导师】 张忠桢；

【作者基本信息】 武汉理工大学 ， 管理科学与工程， 2004， 硕士

【摘要】 信用风险是金融市场上最为古老的一类风险，如果信用可以定义成：“是在某一段限定的时间内可获得的一笔钱的预期。”那么信用风险就是这个预期未能实现的可能。信用活动早而有之，其最早的历史甚至可以追溯到公元前1800年。而从信用活动一开始，信用风险就一直如影随形。 历史的车轮滚滚向前，而今，人类社会的发展进入了一个新纪元。尤其是近二十年来，随着全球一体化的推进，经济自由化和市场化的深入，世界经济进入了一个崭新的发展阶段，金融变革和金融创新在世界范围内呈现出加速发展的态势。 但是，这些变革和创新在不断展现其独有魅力的同时，巨大的风险也接踵而来。信用风险，作为现代金融机构承担的主要风险之一，对其能否进行有效的管理与控制成为了金融机构经营成败的关键所在。商业银行是现代金融机构的主体，信用风险是其所面临的最常见的一种风险。如今，信用风险已经越来越被人们所重视，对信用风险的研究也越来越深入，同时这些研究成果在其实际应用中也取得了较好的效果。但是，作为一种比其他风险更加复杂更加难以定量化的风险，目前对信用风险的研究还只是停留在一个比较初级的阶段，信用风险的定量化工具、技术及模型等理论研究都还没有形成一个比较完善的体系。尤其是在我国，很多商业银行对信用风险的管理还仅仅停留在传统的管理方式上，同时留有明显的历史痕迹，带有计划经济的特点，跟不上时代的步伐，不能满足市场经济对信用风险管理的需要。基于此，对信用风险以及信用风险管理的研究显得尤为重要。 本文在结构上采用在纵向上逐步渐进在横向上逐步展开的方式，主要分为四部分：首先从信用入手，简要介绍信用的概念、发展状况以及现代信用的发展特征。然后由信用过渡到信用风险。在这一部分中，笔者在传统信用风险的基础上，与社会的现状相结合，提出了信用风险的新概念，然后介绍了信用风险的来源、产生原因及其特点。第三部分信用风险管理是本文的重点内容，主要介绍了传统的信用风险管理方式、信用风险定量化的典型的两个模型(Creditmetrics模型和KMV模型)和信用衍生产品，其中信用衍生产品作为信用风险管理的一个发展趋势，文章专门用了一章的内容进行介绍。最后部分结合现阶段我国商业的实际情况，在分析其特点、缺陷的基础上，提出我国商业银行信用风险管理的发展策略和建议。更多还原

【Abstract】 Credit risk is one of the most ancient risks in financial market. If we define credit as a prediction of getting some money, then credit risk is the probability that the prediction won’t turn into reality. The history of credit activity can be traced back to 1800 B.C. And with the credit activity coming into being, credit risk is always closely associated with it.Nowadays, with the rapid development of technology and economy, great changes have taken place in our human society. Especially in the past twenty years, the development of economy of the world has entered into a new phase. The finance transform and finance innovation also take on a speed-up situation.However, great risks come on the heels of the transform and innovation. As one of the most important risks in financial institution, credit risk is the crucial factor in managing the finance institute. Commercial bank is the principal part of present fiance organization and the most common risk it faces is credit risk. Now, more and more people put their attention to credit risk and the researches in credit risk have achieved great progresses in theory and in practice. But as one risk that is so difficult to make quantitative analysis, the researches in it is in the elementary state. The theory and model in analyzing quantitatively the credit risk have not formed a perfect system. Especially in our country, the management of credit risk in many commercial banks has the character of traditional form which cannot entirely keep up with the pace of our time. As a result, researches in credit analysis and management have become the most important tusks in current time.There are four sectors in this article. Firstly, we introduce the definition of the credit to you and take you to the character and development institution of modern credit. Secondly, we define the credit risk in the different way in comparison with the traditional definition. Thirdly, we analyze the management of credit risk from the following three parts: traditional management mode, Creditmetrics model and KMV model which can be the way to make quantitative analysis for credit risk, credit derivatives and which is the most important part. Finally, we put forward some suggestions in how to control and manage the credit risk effectively in the commercial bank in our country.更多还原