【作者】 杜娟；

【导师】 陈丽珍；

【作者基本信息】 江苏大学 ， 国际贸易学， 2007， 硕士

【摘要】 21世纪是经济、金融愈益全球化的世纪。金融开放反映了当今客观的历史发展进程,但与此同时,金融的全球化趋势及金融市场不断加剧的波动性使银行业面临的信用风险进一步加大。我国商业银行的信用风险管理起步相对较晚,对信用风险缺乏足够的认识,管理技术手段与发达国家银行信用风险管理水平存在较大的差距。随着我国加入WTO以及巴塞尔新资本协议的出台,如何提高信用风险管理水平成为我国商业银行面临的重大课题。本文不仅对当今先进的信用风险管理方法进行了综合性描述,而且从我国商业银行的实际出发,结合当前金融开放的背景,对如何提高我国商业银行的信用风险管理水平进行了有针对性的探讨,具有一定的现实意义。本文共有六个部分。第一部分阐述了本文的研究背景、研究意义和国内外有关课题的研究现状。第二部分首先概述了商业银行信用风险管理的基本概念和信用风险度量方法,其次对现代信用风险量化模型进行比较研究,然后详细介绍了巴塞尔新资本协议的宗旨和基本框架。第三部分分析了金融开放对我国银行业发展的影响,重点指出我国商业银行信用风险管理在五个方面存在的问题,并探讨了在金融开放的背景下巴塞尔新资本协议对我国商业银行信用风险管理的新要求。第四部分对我国商业银行不良资产和不良贷款的现状、特点、成因和对商业银行信用风险管理的影响进行分析,从宏观角度探讨银行如何通过降低不良贷款率来加强信用风险管理,尝试通过建立模型验证银行不良贷款率与GDP增长状况之间的关系,经实证检验有较好的适用性和有效性,并得出具有实际参考价值的结论,即重视宏观经济变化对银行不良贷款和信用风险管理的影响,这部分是本文的核心内容之一。第五部分通过分析巴塞尔新资本协议对信用风险提出的内部评级法在我国商业银行的应用,提出我国商业银行信用风险内部评级存在的问题。第六部分是全文的总结,在理论和实证分析的基础上,从不同角度提出加强我国商业银行信用风险管理水平的对策和建议。更多还原

【Abstract】 The 21^st century is the century of economic and financial globalization. But at the same time, with the increase of the financial globalization and the financial magnate’s volatility, commercial banks are facing more credit risk. The credit risk management of China’s commercial banks started very late, and the technology management method is compared the existence big disparity with the developed country. With China’s entering WTO and the implement of the New Basel Capital Accord, how to improve the level of credit risk management has become the significant problem faced by Chinese commercial banks. This thesis not only comprehensively introduced the most advanced credit risk management methods in the western world, but also thoroughly discussed the questions that how to improve the level of credit risk management of the domestic commercial banks.There are six parts in this thesis. In the first part, background and significance of the research are introduced, and the current research situations on credit risk management of commercial banks are summarized. The second part discusses about the fundamental concept of credit risk management and the approach to measure credit risk. Further, the credit risk quantification models are discussed and compared. The basic aim and framework about the New Basel Capital Accord are also described in this part. The third part mainly discusses the influence of finance openness on the Chinese banking and the problems of the credit risk management in five aspects. In addition, this part discusses the new requirement of the new accord on the credit management of China’s commercial banks. In the fourth part, the state, characteristic and origin cause of non-performing assets and bad loan are discussed. This part discusses how to enhance credit risk management through reducing the bad loan rate from a macroscopic position. And this part attempts to establish a model to test the relationship between the bad loan rate and GDP growth. Some conclusions with practically referenced value are made. This chapter is one of the core contents in this thesis. The fifth part analyses the application about the internal rating-based approach that is mentioned in New Basel Capital Accord within Chinese commercial banks and points out the problems about internal rating system in domestic commercial banks. Based on theory and practical verifying analysis, conclusions and advices on credit risk management are given in the last part.更多还原