【作者】 何典芝；

【导师】 何宜庆；

【作者基本信息】 南昌大学 ， 管理科学与工程， 2010， 硕士

【摘要】 信用评级是采用科学的方法和规范化的程序,对评级对象履行相应经济承诺能力及其可信任程度进行调查、分析、评价、测定和审核,对评级对象的偿债能力和违约风险作全面的评价。当一般企业向商业银行寻求贷款业务时,如果商业银行对企业的信用能力无从知晓或者知之甚少,则对商业银行而言,贷款给该企业的认知风险很大。造成的结果就是该企业在金融市场难以融资,或者必须支付高额的风险溢价才能筹得所需资金。因此,在缺乏信用等级标准的参考指标下,资本市场中的资金将无法充分发挥应有的效应。而信用评级制度即在投资人对筹资人的信息缺口上架起信息桥梁,使投资人的认知风险得以降低,同时资本市场的运作得以顺畅。奖惩系统是机动车险第三者责任险中保险定价的一种方式,即对上一年期限中没有发生违约的客户,在续约时给予资费上的优待(资费折扣)；而对发生了一次或多次违约的客户追加资费或给予惩罚。该制度被称为奖惩系统,在我国也被称作无赔款优待体系。本文的研究内容是在我国商业银行内部信用评级体系中尝试引入奖惩系统并对其进行仿真研究。首先从定性分析法确立构建商业银行内部信用评级模型的一些因素,之后基于主成分因子分析法提取商业银行内部信用评级模型的公共因子。然后根据提取的公共因子尝试将奖惩系统引入商业银行内部信用评级体系,确立信用评级体系的转移概率矩阵,同时通过建立系统动力学模型仿真模拟贷款客户在奖惩系统中可以获得的贷款利率折扣,并比较基于违约次数和违约大小的奖惩系统模型,最后就我国商业银行内部评级体系提出改进建议。更多还原

【Abstract】 Credit rating is the result from impartial and professional credit rating agencies which valuate the enterprises’credit. When general enterprises come to commercial banks for loans, if the commercial banks know nothing about their credit, then there comes large risk for commercial banks. As a result these enterprises are difficult in financing or have to pay high risk premium in order to get loans. Therefore without a reference index of credit quality in capital marker, the fund will not be fully effective. However, the credit rating built the information bridge cross the investors from the borrowers, which lower the risk of invest and maker the operation of capital markets to smooth. The Bonus-Malus System (BMS) is a discount of the insurance premium that is given on the renewal of insurance policy if no claim for compensation is made in the previous year.This dissertation focuses on the simulation study on Chinese commercial banks’ internal credit rating system based on the bonus-malus system. At first, this dissertation try to find out some factors in commercial banks credit rating system, then build a commercial bank’s internal credit rating system model based on principal components factor. After that, this essay try to introduce the bonus-malus system from automobile insurance into the credit rating, at the same time gives system dynamic model and simulate the credit rating model, which compare the BMS based on default number with default quantity. Finally this dissertation gives some suggestions for the Chinese commercial banks.更多还原