【作者】 王权；

【导师】 李玉潭；

【作者基本信息】 吉林大学 ， 世界经济， 2014， 博士

【摘要】 商业银行信贷风险管理是风险管理体系中的一部分，并且是最为重要的一部分，是《巴塞尔资本协议I》、《巴塞尔资本协议II》重点约束的风险类别，更是商业银行经营管理的核心部分。改革开放以来，我国商业银行取得了长足的发展，其在风险控制方面更是取得了前所未有的成绩。但是，在信贷风险管理方面，尚缺乏全面、完整的风险管理建设，风险定量分析不足，信贷风险的研究并没有将信贷内控评价机制考虑在内。这是我国商业银行目前亟待解决的问题。美国商业银行发展有较长的历史积累，发展的成熟度、市场化很高，商业银行历史数据连续性强，风险定量分析被广泛运用，商业银行外围的监管制度性也很强。美国商业银行在风险控制方面的一些经验，值得我国学习和借鉴。当然，在本次金融风暴中所暴露出的一些问题和教训也值得我们吸取和反思。本论文主要采用历史与逻辑相结合分析、定性与定量相结合分析、国际比较分析、数学模型分析以及统计分析等方法，部分章节进行了实证研究、文献研究。通过有目的、有步骤地分析，根据观察、记录、测定以及与此相伴随的现象的变化来确定条件与现象之间的因果关系的活动，主要目的在于说明各种自变量与某一个因变量的关系。本文共由10章构成。各章主要内容如下：第1章导论。主要从当前欧美金融危机日益发展现状开始探讨，商业银行经营风险形势严峻主要受金融危机影响，作为利润主要来源的信贷业务，其风险也愈发凸显，需要全面加强管理。本文选取了美国商业银行作为参照物进行研究，导论部分主要从问题的提出与选题意义，论文的框架及论文的主要创新点等五节论述。第2章商业银行信贷风险管理概述。介绍商业银行信贷风险管理的一般原理、方法，界定和论述了基本概念、信贷风险管理的一般环节以及信贷风险管理框架，同时目前商业银行的普遍执行的《巴塞尔资本协议I》、《巴塞尔资本协议II》、《巴塞尔资本协议III》也做一概述。第3章商业银行信贷风险管理理论综述。主要包括了资产——负债管理理论、全面风险管理理论、资产组合管理理论、风险经济资本理论以及《巴塞尔资本协议I》、《巴塞尔资本协议II》、《巴塞尔资本协议III》中的有关理论。第4章美国商业银行信贷风险管理历史沿革与特点。主要分析了美国商业银行信贷风险管理发展历程和一般特点。第5章美国商业银行信贷风险管理信用评级。本章从信用评级标准与原则（主要对客户如何分类，评级遵循的原则、特点等）、信用评级指标体系以及用案例说明美国商业银行信用评级的运用。第6章研究美国商业银行信贷风险成因与风险识别。主要从影响信贷风险主要因素及形成风险内生性研究、各类信贷风险显性或逻辑特征（如美国商业银行对客户风险如财务、资金流动性、企业产品周期性等，再如金融产品风险表内外产品风险，又如市场风险及国别风险等）、风险识别的主要方法、风险识别的主要信用工具以及风险信用工具量化模型设计及运用等五个方面进行研究。第7章美国商业银行信贷风险缓释方式。主要从美国商业银行的一般缓释方式、美国商业银行风险缓释偏好及抵押品（抵押品主要是指如何建立合格抵押品）以及以实例分析资产组合管理的缓释作用等三节来论述。第8章美国商业银行信贷风险管理计量与评估。本章涉及到许多数学模型分析，对美国商业银行风险计量与评估研究，主要从违约率、违约损失率和违约风险资产的计量、风险加权资产与经济资本的确定与计量、各类风险评估与模型建立设计（如国别风险传统方法、古典信用评估法或z值模型、ZETA和多重差异模型；以LIGIT分析建立多重贝努利实验）。第9章美国商业银行信贷风险内控机制。主要从内外部两个视角进行分析，包括美国商业银行信贷风险的内控框架内容、内控管理工具与目标以及内控制度与软性约束。第10章美国商业银行信贷风险管理对我国的经验启示。启示主要从两个方面论述，一是对我国商业银行的启示，如加强信贷风险识别、信用工具运用、风险计量等方面的启示；二是强化信贷风险里内控机制，积极培育良好的信贷文化。更多还原

【Abstract】 Commercial bank credit risk management is the most important part of the riskmanagement system. It is the key risk constraints of categories I and II of the BaselCapital Accord, and it is also the core part of commercial bank management.Since the reform and opening， China’s commercial banks have madetremendous progress in their operation and more progress can be found in the area ofrisk control and management. But as the ability of credit risk management, thecomprehensive construction of integrated risk management is still absent, so is thequantitative risk analysis and the study of credit risk doesn’t take the creditmechanism of internal control evaluation into consideration. That is the emergentproblems to be solved in China.The development of United States’ commercial banks has a long history. Theyhave a high level of maturity and marketization. American commercial bank historydata has strong continuity, and the quantitative risk analysis which is already matureis widely used among them. They also have completed outside regulatory system.The experience of credit risk of United States’ commercial banks needs to be learnedand studied in our country. However, some problems and lessons exposed duringthis financial turmoil also need high attention from us.The methodology of this paper is the combination of history and logic analysis,qualitative and quantitative analysis, the international comparative analysis,mathematical model analysis and statistical analysis, etc. Some section has carriedon the empirical research and literature research. The main purpose is to Explains therelationship between various independent variables and one dependent variablethrough the purposeful and systematic analysis according to the observation,recording, measuring the phenomenon accompanied with the changes to determine the causal relationship between the phenomena of the conditions and activities.The main content of this dissertation is divided into the following10chapters:Chapter1is an introduction. This chapter mainly began with the developmentof the current European and American financial crisis. The grim situation ofcommercial bank management risk is mainly affected by financial turmoil. Creditbusiness, which works as the main source of the profits, is facing increasinglyprominent risk. So the comprehensive management attention is required and thecommercial bank of United States is the reference of this research. This chapterillustrates the topics, purposes and research background of this article, and the theoryand practical significance of this study, introduces the research ideas and methods ofthis article.Chapter2is a general analysis of the commercial bank credit risk management.This chapter introduces the general principles, methods, the basic concept, commonpart of the credit risk management and credit risk management framework includingan overview of the universal implementation of Basel capital agreement ofcommercial Banks I, II, III.Chapter3is the theoretical review of relative basic theory on commercial bankcredit risk management. This chapter focuses on asset/liability management theory,comprehensive risk management theory, portfolio management theory, risk theory ofeconomic capital and the Basel capital accord I, II and III.Chapter4is the historical evolution and characteristics of the commercial bankcredit risk management. This part mainly analyzed the commercial bank credit riskmanagement development and general characteristics.Chapter5is credit rating of the commercial bank credit risk management. Thischapter illustrated the use of the commercial bank credit rating by using credit ratingstandards and principles (mainly the classification of customers, the principle forrating, characteristics, etc.), the credit rating index system and the actual case.Chapter6is the study of the commercial bank credit risk management and riskidentification. This chapter mainly focuses five issues as followed:(1) research of main factors which influence the credit risk and the formation of endogenous risk;(2) all kinds of dominant or logical characteristics of credit risk (the commercial bankrisk to the customer such as finance, liquidity, enterprise products and periodic,another examples are financial product risk form inside and outside the product risk,so are the market risk and country risk, etc.);(3) the main method of riskidentification;(4) the main credit instruments of risk identification and (5) designand use of quantitative model for credit risk.Chapter7is the United States’ style of the commercial bank credit riskmitigation. This chapter mainly focuses there issues:(1) General mitigation methodfor United States’ commercial banks;(2) the United States’ commercial bank’s riskmitigation preferences and collateral which means how to build a qualified collateral;(3) analysis the mitigation function of portfolio management by means of instanceanalysis.Chapter8is measurement and assessment of the commercial bank credit riskmanagement. Many mathematical model analyses are involved in this chapter. Thischapter mainly focuses on issues as followed: default rates, default loss rate and themeasurement of default risk assets, identification and measurement of risk-weightedassets and the economic capital, design and construction of all kinds of riskassessment and model (such as traditional methods of country risk, classical creditevaluation method or z value model, ZETA model and multiple differences,established the multiple Beloit experiment with LIGIT analysis).Chapter9is the commercial bank credit risk internal control mechanism ofUnited States. This chapter focuses and analyses on the content of the United States’commercial bank credit risk internal control framework, internal controlmanagement tools and the target, the internal control system and soft constraintsmainly from the perspectives of internal and external.Chapter10is the experience and enlightenment of United States’ commercialbank credit risk management to our country. The experience and enlightenment arestudied mainly from two aspects: The first is the implications for China’s commercial banks, such as strengthen credit risk identification, the use of credit instruments, riskmeasurement, etc. The second is Strengthen internal control mechanisms in thecredit risk and cultivate good credit culture actively.更多还原