【作者】 吴刚；

【导师】 陈建国；

【作者基本信息】 华南理工大学 ， 金融学， 2011， 硕士

【摘要】 商业银行面临的最主要风险是信用风险,因此,长期以来人们一直对商业银行的信用风险管理非常的重视,信用风险的管理方法也随着经济社会的进步取得了较快的发展。相比于中国银行业,西方发达国家由于其银行业的发展历史比较长久,对商业银行业的风险管理有一个相对比较完善的信用风险管理体系。2004年6月,巴塞尔委员会发布的《新巴塞尔资本协议》(即新巴塞尔协议)成为了全球国际商业银行的遵守准则。为了向西方发达国家学习先进的商业银行信用风险管理方法,中国于2009年3月与澳大利亚、巴西、韩国、印度、墨西哥以及俄罗斯一起加入了巴塞尔委员会,成为其成员国,同时中国银监会也宣布,到2010年,中国主要的国际业务比较活跃的大型商业银行要逐步实施新巴塞尔协议。本文即在这样一个背景下,通过对新巴塞尔协议与旧巴塞尔协议的对比研究,以及结合中国商业银行的信用风险管理现状,分析了中国商业银行信用风险存在的问题及其形成原因,并结合实际提出了相关可行的改进措施,此外,本文还通过构建KMV模型对商业银行的信用风险计量进行了实证研究,并对实证结果进行了分析,最后,本文还就在新巴塞尔协议下构建商业银行的信用风险管理体系提出建议,从而寻找一条既满足新协议要求,又适合具有中国特色的商业银行的信用风险管理的道路。更多还原

【Abstract】 The main risk faced by commercial banks is credit risk, therefore, It has long been the commercial bank’s credit risk management very seriously and with the economic and social progress the credit risk management achieved rapid development. Compared to China’s banks, the Western countries because of its relatively long history of development of the banks, the risk management of commercial banks have a relatively sound credit risk management system.In June 2004, the Basel Committee issued the new Basel Capital Accord (Basel II) became the code that the world of international commercial banks to comply with. In order to learn advanced methods of credit risk management of commercial banks in Western countries, China, in March 2009 with Australia, Brazil, Korea, India, Mexico and Russia was a party of the Basel Committee, becoming its Member States, Meanwhile, the Chinese Banking Regulatory Commission also announced that by 2010, China’s main international business more active large commercial banks to gradually implement the new Basel Accord.This article is in such a context, through the comparative study of the new Basel Accord and the old Basel Accord, as well as the present situation of China commercial bank’s credit risk management, provides an in-depth analysis of problems and causes of China commercial bank’s credit risk, and to put forward some feasible combination of practical measures for improvement, In addition, this article through the construction of KMV model to a empirical study of commercial bank credit risk measurement, and analysis of the empirical results, Finally, this article under the new BaselⅡto build a commercial bank’s credit risk management system in order to find a new road that agreement to satisfy both requirements, but also with Chinese characteristics suitable for commercial banks in credit risk management.更多还原