【作者】 刘学伟；

【导师】 闫晓莉；

【作者基本信息】 哈尔滨工程大学 ， 金融学， 2011， 硕士

【摘要】 近些年来,信用风险是银行经营过程中面临的最主要风险。20世纪90年代以后,金融工具的不断创新、信贷规模的持续扩张等因素,使信用风险与银行所面临的其他风险之间的关联性越来越强,由信用风险所造成的银行损失越来越大。尤其是2008年美国爆发的次贷危机,其根本原因是由于美国部分银行信用风险的管理不善造成的,此次危机愈演愈烈,最终演变成了一场席卷全球的金融海啸。传统的信用风险管理方法和度量模型已不能满足当前商业银行的发展需求,如何全面、有效地对银行信用风险进行管理,是所有国家银行机构最值得研究的重要课题之一。本文以现代商业银行信用风险管理理论为基础,全面、系统地对信用风险的发展过程和主要特征进行了分析,总结了目前具有代表性的4类信用风险度量模型,确定CPV模型为适合我国银行机构信用风险度量的主要适用模型。在此基础上,采用压力测试技术分别从银行监管机构和银行分支机构这2个层面对我国商业银行信用风险进行了实证分析。首先,建立了关于国民生产总值增长率、居民消费价格指数、流通中现金同比增长率和美国国债三年期利率这4个因素的宏观信贷模型,进行了压力测试；其次,在对银行分支机构进行压力测试时,从企业的角度出发,以KMV模型为基础,把违约距离作为企业信用风险的度量指标,得出实证结论：国民生产总值增长率、净资产收益率、行业产出量对企业的违约距离具有较明显的影响；最后,在实证分析基础上,提出了加强压力测试技术在金融领域推广工作的政策性建议,加强金融风险量化的管理工作,提高我国银行机构的整体风险管理水平。更多还原

【Abstract】 In recent years, credit risk has been the primary risk in the process of bank operation. After 19 century, on the account of continuous innovation、continued expansion of credit risk on financial tools, the relevance between credit risk and other bank risks become stronger and more hazardous. Especially the American subprime crisis which outbroke in 2008, the basic reason was that the credit risk on mismanagement of some banks in the U.S which finally evolved into a global financial tsunami. The traditional credit risk management methods and measure models could not meet the current commercial bank’s end development needs. How to comprehensively and effectively manage the bank credit risk are the primary work and the most valuable research on the whole countries banks.The paper is based on modern commercial bank credit risk management theory comprehensively and systematically analyzes the development of credit risk process and main characteristics, summing up 4 representative models and determining the CPV model are the most suitable one to measure the credit risk on Chinese bank institutions. On that basis, the paper uses the stress testing techniques to make an empirical analysis on the credit risk of commercial banks which is based on two aspects "bank regulators" and "bank branches" First of all, the paper establishes 4 macro-credit model which are GDP growth, consumer price index, cash in circulation growth and the three-year U.S. treasury rate, then carried out stress tests analysis; secondly, for bank branches in stress test, the paper from the angel of business and based on the KMV model, set the default distance as a credit risk metric, then by doing experimental simulation it can be concluded that the GDP growth, the ROE and the output of enterprises have obvious influences on the default distance; finally, on the basis of empirical analysis, the paper proposes the suggestions on strengthening the stress testing technology which is applied in the financial sector promotion in order to strengthen the management on financial risk quantification and improve the whole Chinese banking institutions on risk management.更多还原