【作者】 刘堃；

【导师】 巴曙松；

【作者基本信息】 中国科学技术大学 ， 金融工程， 2010， 博士

【摘要】 在BCBS、COSO和IASC等国际组织合力推动之下,全球商业银行实施全面风险管理(ERM)之势方兴未艾,渐成主流。在当前我国商业银行建设全面风险管理体系过程中,公司信用风险是最为主要的风险种类,而其风险预警和风险缓释则是最为薄弱的关键环节。本文正是站在商业银行角度,从全面风险管理视角出发,选择公司信用风险管理作为研究范围,选择信用风险预警和信用风险缓释两大环节作为研究对象,不但系统地梳理了全面风险管理发展动力、信用风险预警原则、信用风险缓释工具性质等理论命题,而且结合中国商业银行需要,基于实践实用角度,提出了一套新的信用风险预警模型和一套信用风险缓释价值内部评估模型族,并应用到商业银行信贷业务实践之中,从而在提高我国商业银行信用风险管理乃至全面风险管理的有效性方面做出初步探索。第1章(1.78万字)为导论,介绍了研究背景、研究意义、研究思路和研究方法,并在界定相关概念的基础上,重点对国内外相关研究文献进行了综述梳理。在近年来我国商业银行业务飞速发展、管理亟待提升、监管日益严格的大背景下,显然有必要对全面风险管理、信用风险预警和信用风险缓释等进行理论上的溯本清源,实践中的因地制宜。在研究方法方面,主要以实践为导向,运用理论比较、历史推演、抽象归纳等分析工具,同时构建模型、开发系统并进行实证或案例研究。第2章(2.45万字)分析了现代风险管理的发展趋势及其对我国商业银行的启示和影响。采用五星模型对比分析近三十年来推动现代风险管理的三大代表性国际组织,发现其近年来的最新成果均不约而同指向全面风险管理,这给我国正在改革中快速前行的风险管理提供了有益启示,那就是要立足现状,奋起直追,尽快实施全面风险管理。而在当前建设全面风险管理过程中,关键议题之一就是要建立适合我国国情和银行行情的有效信用风险预警与缓释模型、工具和系统。第3章(1.81万字)开始探讨适合于我国企业特征因而适用于我国商业银行的信用风险预警模型。通过分析迄今国外应用最为广泛、最具代表性的现代信用风险预警模型的异同,特别是其对于我国企业和银行的应用局限,得出这些基于大量可靠宏微观数据积累的现代模型并不能被拿来直接用于我国银行对企业进行信用风险预警的结论。先破后立,不破不立。在破的基础上,结合我国实际情况,借鉴国外建模思想和技术,提出基于企业关联关系和信贷行为进行预警的C&B模型,并重点论述其关联识别、指标构建和算法选择。最后,应用SWOT方法分析其在我国的应用前景。第4章(0.91万字)以某大型银行实际应用为例,对基于企业关联关系和信贷行为的C&B预警模型进行实证检验和结果分析。首先简要论述了主要建模过程,包括数据准备、统计检验、指标选择、参数估计、模型评分等重要环节；接着应用该模型分析一个完整年度的宽表数据,并对输出结果进行了多维详细剖析；最后以近期发生的上广电集团风险事件为例,做了一个较为详细的模型结合业务的应用案例。第5章(2.53万字)开始转入对信用风险缓释的研究,本章主要是对信用风险缓释进行一般性分析。首先是基于信息经济学和信贷配给理论,分析提炼出信用风险缓释工具的基本性质、功能、角色及其作用传导的机理；接着在迄今最为完整、但也最为复杂的巴塞尔新资本框架中,分析整理出标准法、初级内部评级法和高级内部评级法对三大类信用风险缓释工具的处理规则异同；最后,系统剖析信用风险缓释工具在缓释信用风险的同时,自身存在的剩余风险以及新增的各类风险。第6章(2.41万字)以押品为代表,论述信用风险缓释工具价值评估模型,以期解决这个“主体中的关键、关键中的难点”问题。首先在比较押品价值外部评估与内部评估原则、特征和要求的基础上,指出商业银行对押品价值进行内部评估所需的特别要求；接着以外部评估标准方法为基础,根据内部估值的实际需要,提出一套适用于我国商业银行对押品价值进行内部重估的简约模型族,包括8种评估方法及14个计算公式；然后研究具体应用这套模型时必须解决的若干关键问题,包括押品标准分类、评估方法选择、模型使用技巧以及信息系统设计等；最后以最为常见的房地产押品为例,给出了一个较为详细的重估模型应用案例。第7章(0.48万字)是对全文研究的总结及对未来进一步研究的展望。更多还原

【Abstract】 Promoted by BCBS, COSO, IASC and other international organizations, commercial banks all over the world are implementing the Enterprise Risk Management (ERM) in the ascendant, which becomes the mainstream. Currently, in the process of building ERM system, credit risk is the most major risk categories of commercial Banks in China, while the risk early warning and risk mitigation are the weakest critical-links. This article standing on the side of commercial banks, interpreting from the perspective of ERM, selecting credit risk management in corporation as study area, and choosing the credit risk early warning and risk mitigation as research subjects, not only systematically integrates the ERM, credit risk early warning principle and credit risk mitigation tools and other theoretical proposition, but also puts forward the useful early warning models of credit risk and internal evaluation models of collaterals, combined with practical needs of commercial banks in China, and applies to the practice of commercial banks’credit operations, in order to make a preliminary research for improving the effectiveness of credit risk management as well as ERM system of commercial banks in China.Chapter 1:Introduction. It introduces the research background, significance, ideas and methodologies, as well as defines the relevant concept, focusing on reviewing the domestic and foreign research literature. Recent years, under the background of the rapid development of commercial banking, urgent need for upgrading management and the increasing regulation, it is obviously necessary to radically seek the oringin of the theory on ERM, credit risk early warning, credit risk mitigation and etc. Therefore, the author utilizes the practice-oriented guide, integrated theory compare, history deduction, abstract induction and other methodologies, by constructing models, development systems and empirical research, to complete the research process.Chapter 2 analyzes the developing trend of modern risk management as well as the Inspiration and influence for commercial banks of China. The article uses the five-star model to comparatively analyze the three representative international organizations, which promote the modern risk management during the recent thirty years and finds that the latest achievements in recent years are all about ERM. It is a useful lesson for us who are rapidly promoting the reform of the risk management, and teaches us to base on status, catch up and attempt to implement the ERM. In the current building process of ERM, one of the key issues is to establish the suitable and effective credit risk early warning and risk mitigation models, tools and systems for our country and every bank.Chapter 3 begins to look for credit risk early warning models, which suite Chinese enterprises and which are useful for commercial banks of China. By introducing the similarities and differences of modern credit risk early warning models that are most widely used abroad so far and the most representative, focusing on the limitations of the application by enterprises and banks of China, this article conclude that the modern models based on reliable macro and micro data can not be directly used by our banks to predict the credit risk on corporations. Based on those face, combined with reality, learnt from modeling ideas and techniques mentioned before, this article proposes the C & B model that based on the business affiliations and credit behavior’s early warning. Meanwhile, this article emphasizes on demonstrating the relevant identification, target building and algorithm selection. Finally it analyzes its prospects in China by the SWOT analysis.Chapter 4 empirically tests and analyzes the C & B model, which based on the business affiliations and credit behavior, by a real and large bank of China for example. First of all, it briefly discusses the main modeling process, including data preparation, statistical test, index selection, parameter estimation, model score and other important steps. Next, it analyzes the modeling results of data from December 2007 to December 2008 and discusses the output from multidimensional aspects. Finally, taken risk event of SVA Group for example, it applies the model to a more detailed real case.Chapter 5 begins on a general analysis of credit risk mitigation. Above all, based on the information economics and the credit rationing theory, it makes a comprehensive analysis about the basic nature, function, role and the conduction mechanism of credit risk mitigation tools. Next, based on the most complete as well as most complex framework, Basel II Accord, this article analyzes the similarities and differences of credit risk mitigation tools under Standard Approach, Foundation Internal Rating Approach and Advanced Internal Rating Approach. Finally, it systematically analyzes the residual risks and additional risks.of credit risk mitigation tools when they mitigate the risks.Chapter 6 takes collateral as an example to discuss the Credit Risk Mitigation Tools Valuation Model, in order to address the key problems. First, the author summarizes the special requirements of commercial banks’internal assessment for collateral value by comparing the principles, characteristics and requirements between external and internal assessment. Next, based on the standard methods of external assessment and the requirements of the internal assessment, the article proposes a suitable and simple collateral value revaluation models for commercial banks in China, including 8 kinds of assessment methods and 14 formulas. Then, it studies a number of key issues for the application of model, including the collateral standard classification, assessment methodologies selection, model tips, and information system designing. Last but not least, it gives a detailed revaluation model case of real estate collateral, which is quite common.Chapter 7 contains the summary of the full text and future prospects of further research.更多还原