【作者】 李关政；

【导师】 彭建刚；

【作者基本信息】 湖南大学 ， 金融学， 2010， 博士

【摘要】 宏观经济波动给各国商业银行的稳健经营都带来了巨大冲击,宏观经济因子是银行信用风险度量必须考虑的重要参数。我国商业银行主要是采用定性分析或者简单量化的方法来估计宏观经济因子对信用风险的影响,未能进行较精确的模型化的度量。国外的信用风险度量模型也只考察经济周期因子而没有涵盖我国特殊的经济体制改革因子,不适合在我国直接应用。美国金融危机之后,我国银行监管部门加强了对商业银行的宏观审慎监管,更加注重对系统性风险的防范。在此背景下,研究基于宏观经济因子的商业银行信用风险度量具有重要的现实意义。本文首先从理论上分析宏观经济对我国商业银行信用风险的影响,然后分两步构建基于宏观经济因子的信用风险度量模型,进而将宏观经济分析和信用风险度量模型有机结合,形成基于宏观经济因子预测的信用风险度量方法。已有研究还未能为经济周期以及经济体制改革对商业银行信用风险的影响提供完整的理论解释。本文通过构建一个简单的跨周期模型来分析经济周期对商业银行信用风险的影响机制,并刻画出银行预期损失和非预期损失的顺经济周期波动。经济体制改革方面,本文着重研究企业产权制度变革、金融体系改革以及对外开放对商业银行信用风险的影响：建立一个两部门风险生成模型来剖析企业产权制度变革对商业银行信用风险的影响机制；指出金融体系改革对商业银行存在双重硬化效应——预算约束硬化和资本约束硬化,进而影响商业银行信用风险；建立一个对外开放三阶段模型,指出对外开放在增加企业收入的同时也会加大企业收入的波动性,因而对银行信用风险产生双向的影响。我国经济体制改革尚未完成,因此经济体制改革因子是我国商业银行当前及未来信用风险度量都必须考虑的重要参数。根据理论分析的结果,本文分两步来建立基于宏观经济因子的信用风险度量模型。第一步,通过建立宏观经济因子测定模型(Macroeconomic Factor Determine模型,简称MFD模型),从经济周期和经济体制改革两方面测定影响我国商业银行信用风险的宏观经济因子。实证分析确定了五个宏观经济因子：GDP增长率、通货膨胀率、企业产权多元化指数、金融市场化指数和外贸依存度,说明在我国商业银行信用风险度量中,经济体制改革因子和经济周期因子同样重要。第二步,运用宏观经济因子将测算借款企业违约概率的Logistic模型扩展为MF-Logistic模型(Macroeconomic Factor-Logistic Model),并通过实证分析得到分行业和分地区的MF-Logistic拟合模型。实证结果显示：各个MF-Logistic拟合模型均具有较好的拟合效果,各个宏观经济因子具有不同程度的显著性。MF-Logistic模型的信用风险判别能力高于传统的Logistic模型,并能量化宏观经济变化对企业违约概率的影响,为商业银行更科学的信用风险度量提供了基础模型。在此基础上,本文以宏观经济因子预测为基础,计量银行贷款组合在未来不同宏观经济情景下的非预期损失。本文首先分析我国宏观经济的变化趋势,然后根据压力测试方法以及MFD模型预测宏观经济因子并组成未来三种不同的宏观经济情景,再运用MF-Logistic模型和基于频带划分的CreditRisk+模型计量贷款组合在不同的宏观经济情景下的非预期损失。基于宏观经济因子预测的信用风险度量方法能有效量化未来的宏观经济变化对商业银行信用风险的影响,有助于商业银行改变遵循“摩根规则”的信用风险度量模式,进而缓解经济资本的顺周期性,满足宏观审慎监管的要求。我国商业银行应用基于宏观经济因子的信用风险度量方法,需要加强对宏观经济因子的监测,建立经济资本的顺周期缓释机制,以及运用MF-Logistic模型开展信用风险压力测试。更多还原

【Abstract】 Macroeconomic environment is an important factor that must be considered in commercial banks’ credit risk management. However, China’s commercial banks mainly use qualitative or simple quantitative method to estimate the impact of macroeconomic factors in credit risk management and failed to allow for more accurate modeling measurement. Some relatively mature credit risk models that developed by foreigners take only economic cycle into account but without considering economic reform that happens in China, so are not suitable for direct application in China. After the U.S. financial crisis, China’s banking supervision department strengthen the macro-prudential supervision to commercial banks and focus on systemic risks. Therefore, credit risk measurement based on macroeconomic factors is of important practical significance. The dissertation firstly analyzes the impact of macroeconomic to commercial banks credit risk. Then establishes credit risk measurement model based on macroeconomic factors. Finally organically combine the macroeconomic analysis and credit risk measurement model to take credit risk measurement based on macroeconomic factors.Current economic theories fail to explain how the economic cycle and economic reform affect on commercial banks’credit risk. The dissertation builds up a simple Cross-Cycle model to analyze how the economic cycle’s influence on commercial bank credit risk and describe the pro-cyclical varies of expected loss and non-expected loss of bank. Economic reform mainly affect the credit risk of commercial banks from three aspects of enterprise property system reform, financial system reform and opening up. The dissertation firstly establishs a Two-Sector Risk Generating model to analyze how the enterprise property system reform effects on the credit risk; secondly points out that the financial system reform has double harden effect to budget constraint and capital constraint, then influence the credit risk; thirdly establish an Opening-up 3 period model to illustrate that opening up to increases business revenue and also increase the volatility of revenue, which generate two-way effect on the banking credit risk. Chinese economic reform has not been completed. Therefore, the economic reform factors must be considered in China’s commercial banks’current and future credit risk measurement. According to the theoretic analysis, the dissertation establishes a credit risk measurement model based on macroeconomic factors. The first step builds up a Macroeconomic Factor Determine model (short for MFD model) and estimates the macoreconomic factors that significantly influece banking credit risk. Demonstration study determines five factors as GDPGR, INF, EPDI, FLI and FTD, indicating that economic reform factors are as important as economic cycle factors to credit risk measurement. The second step extends the Logistic model to Macroeconomic Factor-Logistic (MF-Logistic) model and takes empirical analysis of MF-Logistic model in industrial and regional level. Empirical analysis shows that the MF-Logistic models get good fitted result, all macroeconomic factors show varying significant degrees and have economic meanings. The MF-Logistic model enhances the judging ability to credit risk and can describ the impact of macroeconomic changes on probability of corporate defaults and provides model for scientific credit risk measurement.Combining macro analysis, Press Test, MFD model, MF-Logistic model and CreditRisk+model, the dissertation measures the PD and economic capital of loans in different macroeconomic scenes based on macroeconomic factors forcast. credit risk measurement method based on macroeconomic factors prediction can directly reflect future macroeconomic factors affect on banking credit risk, can help banks to change credit risk measurement following "Morgan rule", then alleviate the procyclicality of economic capital and achieve unity of macro-prudent and micro-prudent.China’s commercial banks should strengthen inspection to macroeconomic factors, establish economic capital procyclicality buffer mechanism, implement refined credit risk measurement in industry and regional level, and prosecute credit risk press test.更多还原