【作者】 常建伟；

【导师】 吴艳霞；

【作者基本信息】 西安理工大学 ， 工商管理， 2004， 硕士

【摘要】 在现代金融体系中，商业银行是我国金融体系的主体，它们的安全与稳定在很大程度上决定了我国金融体系的安全与稳定。尽管近年来，在资产规模、经营范围、经营管理等方面我国的商业银行取得了巨大进步，但目前，商业银行资产信贷质量持续下降，已经成为制约我国商业银行发展，影响国民经济长期稳定运行的重要因素。国内各银行信贷资产低下的原因是多方因素造成的，其中一个很大的原因就是信用风险管理水平较低，没有切实可行的信用风险量化手段。如何确定信用风险管理的目标，提高风险管理的效率，是商业银行需考虑的重要问题。 本论文以镇江市商业银行为研究对象，从商业银行信用风险的基本理论入手，运用理论和实践相结合的分析方法，深入分析了镇江市商业银行的经营现状和镇江商行信用风险体系，找出其薄弱环节。在此基础上，借鉴国外银行信用风险管理先进手段，引进信用风险管理系统工程，特别是此系统工程中最为重要的信用风险量化手段Credit Metrics模型测算风险的VAR值，构建了镇江市商业银行信用风险管理的模型，提出了在强化信用风险管理相关环节的同时，必须进行RAROC考核，以评定相关信贷人员的业绩及分配风险资本。并针对镇江市商业银行的实际，提出了改进镇江商行信用风险管理的措施建议。希望该论文的研究成果能够对镇江市商业银行更好的实施信用风险管理、管理好本行的资产和负债，创造更大的效益，增强其竞争能力提供参考。同时，也希望该论文的研究成果能够对其他商业银行防范和化解信用风险提供借鉴。更多还原

【Abstract】 In the modern banking system of which the commercial banks are the main bodies. Their safety and stability decide those of our country’ s banking system in great degrees. However, in latest years, the commercial banks have gained great progress in capital scale, business scope, business management, etc.. But now, the aspect such as the continuous declination of credit quality has become the important factor in hindering the development of commercial Banks, and also in impacting the long-term run of state economy. Many reasons have given birth to the bad quality of credit capital inland, Among which the greatest is the low lever of management on credit capital with absence of practical means in measuring the credit risk. The questions, such as how to confine the target of credit risk management and how to increase the efficiency must become the important things which the commercial banks should pay attention to.This thesis takes Zhenjiang City Commercial Bank (ZCCB) as the research object, stating with the basic theory of credit risk by way of analyzing in combining the theory into practice, and then deeply analyzing the current status and credit risk system in order to find the weak aspects on the basis of research, and with consulting foreign banks’ advanced means in controlling credit risk and with importing the credit risk management system project,specially importing the model of Crdeit Metrics, the most important means in measuring the VAR value of credit risk in the above mentioned project, and then puts forward the conclusion that the means in managing the credit risk is changeable and dynamic with using synthetic ways in accordance with the practical status, and also advises how to improve the credit risk management on the part of ZCCB. I hope the research result could contribute something for betterment of implement on credit risk management and for managing ZCCB’ s capital and liability, and then make it to gain better profits and stronger competition ability, at the same time, I also hope its result could give some advice to other commercial banks to help them defend and resolve the credit risk.更多还原