【作者】 娄勇；

【导师】 段从清；

【作者基本信息】 华中师范大学 ， 管理科学与工程， 2008， 硕士

【摘要】 信贷风险是商业银行面临的最大和最重要的风险,也是是商业银行经营中需要控制的核心要素之一。对商业银行信贷风险管理的研究,可以保障银行的经营安全,以最小的损失来获得控制信贷风险的最佳效果,防患于未然。同时,信贷风险管理还可以促使商业银行在资金筹集和资金运用上更加科学合理,提高效率,最大限度地减少信贷风险的发生,从而促进整个商业银行系统的正常运转,维持金融秩序的稳定,促进国民经济健康发展。从2006年12月11日起,我国金融业进入对外全面开放时期,中国已向外资银行开放了对中国境内公民的人民币业务,并取消了开展业务的地区限制及其它非审慎性限制,履行我国加入世界贸易组织时关于对外资银行实行国民待遇的承诺。这也意味着我国的商业银行将和外资银行站在同一条起跑线上开展竞争。但是我们必需认识到,我国商业银行在资金规模、管理技术、产品创新以及风险管理水平上与外资银行还有很大的差距,特别是商业银行信贷风险管理,在学习借鉴国外先进的信贷风险管理技术和管理理论的基础上,需要研究适合我国商业银行的信贷风险管理模式。本文正是从这一背景出发,对商业银行信贷风险管理这一主题进行探讨。本文主要介绍了国内外有关商业银行信贷风险管理研究的现状,然后从商业银行信贷风险识别、商业银行信贷风险度量、商业银行信贷风险预警、商业银行信贷风险控制与信贷风险管理评价等方面对商业银行信贷风险管理进行系统分析。本文的创新点主要体现在以下两个方面:一是转换了国外及国内学者将商业银行信贷风险的研究主要集中于信贷风险的度量,即风险度量模型研究的思路,初步构建了商业银行信贷风险的识别、信贷风险度量、信贷风险预警、信贷风险控制及信贷风险管理评价这一较为完整的商业银行信贷风险管理体系。二是应用新的信贷风险预警模型,将多元统计分析当中的聚类分析思想引入商业银行的信贷风险预警当中,以期对信贷风险预警研究提供一个新的思路。更多还原

【Abstract】 Credit risk is the greatest and essential risk of commercial bank, but also it is one of the core elements that the commercial bank should control in it’s operation. The research on the credit risk management of commercial bank can guarantee security, control the credit risk effectively with a minimum loss and take preventive measures. At the same time, credit risk management can also prompt commercial bank to raise funds and arrange funds more scientifically and rationally, as well as efficiently, minimize the occurrence of credit risk, so as to promote the commercial banking system’s normal operations, maintain financial order and stability and promote the healthy development of the national economy. From December 11, 2006, China’s financial industry got into the full-open period, China began to open foreign bank RMB business on Chinese citizens, remove the restrictions on areas and other non-prudential restrictions, and keep promise that we made to give national treatment to foreign bank when China enter into the World Trade Organization. This also means that China’s commercial bank and foreign bank will compete at the same condition. But it’s necessary to recognize the great gap between China’s commercial bank and foreign bank on the capital size, management technology, product innovation and risk management, particularly, the commercial banks’ credit risk management. Learning from foreign advanced credit risk management technology and management theory, it’s necessary to study the special credit risk management model to china’s commercial bank. This article is based on this background and explored this theme of commercial banks’ credit risk management.This article mainly introduces the present study on credit risk management of commercial bank in foreign and domestic research, then analyze systematically from the following aspects: identification of commercial banking credit risk, measurement of commercial banking credit risk, the early warning of commercial banking credit risk, the control and managing appraisement of commercial banking credit risk.In this article, the main innovative aspects are as following: at first, the author transforms research train of the foreign and domestic scholars, who concentrate in the measurement of credit risk, the limitations of risk measurement model. And construct a risk management system , including identify, measure, warn and control the credit risk of commercial banks. Secondly, it applies a new model of credit risk’s early warning, and introduced the multivariate statistical analysis into the warning system, in order to provide a new method to studies on early warning of credit risk.更多还原