现代信用风险管理模型在我国商业银行的应用

【作者】 吴双；

【导师】 孙东升；

【作者基本信息】 对外经济贸易大学 ， 金融学， 2007， 硕士

【摘要】 近20年来,国际信用风险计量管理领域发展出了一套完整的模型体系,其中正式对外公布的、比较有影响力的风险量化管理模型主要有四个,包括KMV公司的KMV模型、J . P.摩根的Credit Metrics模型、瑞士信贷银行的Credit Risk+模型和麦肯锡公司的Credit Portfolio View模型。这些模型对我国商业银行的信用风险管理都有一定的借鉴意义。然而,由于经济制度、金融发展水平等方面的差异,对于上述信用风险量化管理模型能否适用于我国商业银行的信用风险管理实践、何种方法更有效、我国商业银行应做好哪些准备等问题,尚需进一步讨论。为此,本文将从我国商业银行信用风险现状出发,系统地对四大信用风险管理模型进行比较分析,分别阐述各模型的思路、假设、优缺点及各方面比较,探讨我国商业银行应用这些模型的必要性和可行性,最后将结合现状提出适合我国的现代信用风险管理模型基本框架及政策建议。更多还原

【Abstract】 In recent twenty years, credit risk quantifying was gradually appreciated in credit risk management, and is developing to credit risk modeling. Until now, there are four published and influential credit risk quantifying models, including KMV, Credit Metrics, Credit Risk+ and Credit Portfolio View. Every model has some use for reference to the commercial banks of our country. However, because of the differences in economic policies and development of finance between foreign countries and us, we should analyze and discuss whether these models can be used in our country, which one is the best choice and what preparations we should do, etc.This paper analyzes the actuality on credit risk management in the commercial banks of our country at present, briefly introduces and comparatively analyses the four models, then discusses the implementation of them in China. What’s more, in order to use credit risk quantifying model more effectively, the paper gives some advices on improvements of credit risk management in commercial bank of our country.更多还原