我国商业银行信用风险度量及管理的改进研究
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摘要
信用风险的度量和管理是目前国内外金融界研究的热点和难点。本文以当今金融界信用风险管理最活跃的两大领域—信用风险的现代度量和利用衍生产品与结构化金融产品等创新技术的现代管理为切入点,吸收了全球银行业风险管理的标准范本—新巴塞尔资本协议的精神和改革内容,从发达国家信用风险的管理实践与学术领域的最新研究成果中寻求适合我国国情的信用风险管理方案。
本文在总结回顾以前工作的基础上,从我国的适用性角度出发,沿着从个体到组合,从风险度量到管理,从理论到应用的路线展开,构成了我国商业银行信用风险度量及管理改进研究的完整体系。文章共分为三个部分:个体信用风险度量及管理的改进、组合信用风险度量及管理的改进以及它们在我国的应用研究。
第一部分首先研究了个体信用风险基本要素(暴露风险、违约和回收风险)及其损失的度量问题,对KMV模型进行了改进,全面考虑了到期前违约、不确定违约阀值诸影响要素,进行更全面、准确和一致的风险测量;其次研究了个体信用风险管理改进,包括针对期望损失的现代定价补偿管理,针对意外损失的最优限额管理和针对极端损失的信用风险缓释技术(贷款合同约束条款、抵押、担保、信用衍生产品)管理。
第二部分首先研究了组合信用风险度量改进,探讨了个体对组合的风险贡献、组合风险的相关特性及其损失度量,分析研究了系统因素和公司特质的不同假设条件下的违约概率、违约相关性、风险分散化程度和损失分布的极限;其次研究了组合信用风险管理改进,包括CVaR条件下的最优化组合分散化管理,衍生产品以及证券化技术转移和分散管理,详细分析了CVaR条件下最优组合权重的确定,信用衍生产品和证券化产品的品种、结构原理及应用。
第三部分研究了信用风险度量及管理的改进在我国商业银行的具体应用。将改进后的KMV模型应用于我国商业银行个体信用风险度量的具体实践;将个体信用风险的定价补偿管理和信用限额管理应用于我国商业银行个体信用风险管理的具体实践;将单因素模型和蒙特卡罗模拟应用于我国商业银行组合信用风险度量的具体实践;将CVaR条件下的组合最优化和衍生产品及证券化技术应用于我国商业银行组合信用风险管理的具体实践。
本文研究对我国商业银行信用风险度量及管理的实践具有一定的理论参考和实际应用价值。
The measurement and management of credit risk is difficult and have increasing interest. The paper starts at the two most active fields: the modern measurement of credit risk and modern management of credit risk based on credit derivatives and structured finance instrument. The paper absorbs the spirit and reform contents of The New Basel Accord, which is the criterion of risk management in global bank community. Blue print of credit risk adapted to the situation of china is derived from credit risk management practice in developed countries and the last academic research.On the base of reviewing the past work, from the point of view of Chinese appilicability, the paper constructs a full system of improvements on measurement and management of credit risk in Chinese commercial bank along the rounts from individual risk to portfolio risk, from risk measurement to risk management and from theory to application. The paper is composed of three parts: the improvement on measurement and management of individual credit risk, the improvement on measurement and management of portfolio credit risk and their application.In the first part, firstly, the measurement of basic elements (exposure risk, default risk and recovery risk) and losses of individual credit risk are researched. The improved KMV model is constructed and allows premature default, time-varying default barrier impact. Therefore the measurement is more comprehensive, precise and consistent. Secondly, improvements on management of individual credit risk are reseached. Expected losses are compensated by modern pricing on loan. Unexpected losses are controlled by the optimal credit limit management based on differential game-theoretic. Extreme losses are reduced through credit risk mitigation (loan contract restriction term, collateral, guarantee and credit derivatives).In the second part, firstly, the modern measurement of portfolio credit risk is researched. The risk contribution from individual risk, the correlation of credit risk in portfolio and the credit risk losses measurement are examined. The default probability, default correlation, the scope of credit risk diversification and the limit distribution of losses are derived under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. Secondly, the improvement on management of portfolio credit risk is researched, such as the credit risk optimization with CVaR, decentralization and transfer management through credit derivatives and securitization products. The optimal combined proportion under CVaR is examined. The category and structure of credit derivatives and securitization products is analyzed. The principle and mechanism of credit risk transfer and diversification are examined.In the third part, the improvement on measurement and management of credit risk are applied to the china's practices. The improved KMV model is applied to the measurement of individual credit risk. The modern pricing and optimal limit are applied to the management of individual credit risk. The single-factor model and Monte Carlo simulation are applied to the measurement of portfolio credit risk. The credit risk optimization with CVaR and credit derivatives and securitization are applied to the management of portfolio credit risk.The paper has valueble academic referrences and practical applications on Chinese practice.
本文在总结回顾以前工作的基础上,从我国的适用性角度出发,沿着从个体到组合,从风险度量到管理,从理论到应用的路线展开,构成了我国商业银行信用风险度量及管理改进研究的完整体系。文章共分为三个部分:个体信用风险度量及管理的改进、组合信用风险度量及管理的改进以及它们在我国的应用研究。
第一部分首先研究了个体信用风险基本要素(暴露风险、违约和回收风险)及其损失的度量问题,对KMV模型进行了改进,全面考虑了到期前违约、不确定违约阀值诸影响要素,进行更全面、准确和一致的风险测量;其次研究了个体信用风险管理改进,包括针对期望损失的现代定价补偿管理,针对意外损失的最优限额管理和针对极端损失的信用风险缓释技术(贷款合同约束条款、抵押、担保、信用衍生产品)管理。
第二部分首先研究了组合信用风险度量改进,探讨了个体对组合的风险贡献、组合风险的相关特性及其损失度量,分析研究了系统因素和公司特质的不同假设条件下的违约概率、违约相关性、风险分散化程度和损失分布的极限;其次研究了组合信用风险管理改进,包括CVaR条件下的最优化组合分散化管理,衍生产品以及证券化技术转移和分散管理,详细分析了CVaR条件下最优组合权重的确定,信用衍生产品和证券化产品的品种、结构原理及应用。
第三部分研究了信用风险度量及管理的改进在我国商业银行的具体应用。将改进后的KMV模型应用于我国商业银行个体信用风险度量的具体实践;将个体信用风险的定价补偿管理和信用限额管理应用于我国商业银行个体信用风险管理的具体实践;将单因素模型和蒙特卡罗模拟应用于我国商业银行组合信用风险度量的具体实践;将CVaR条件下的组合最优化和衍生产品及证券化技术应用于我国商业银行组合信用风险管理的具体实践。
本文研究对我国商业银行信用风险度量及管理的实践具有一定的理论参考和实际应用价值。
The measurement and management of credit risk is difficult and have increasing interest. The paper starts at the two most active fields: the modern measurement of credit risk and modern management of credit risk based on credit derivatives and structured finance instrument. The paper absorbs the spirit and reform contents of The New Basel Accord, which is the criterion of risk management in global bank community. Blue print of credit risk adapted to the situation of china is derived from credit risk management practice in developed countries and the last academic research.On the base of reviewing the past work, from the point of view of Chinese appilicability, the paper constructs a full system of improvements on measurement and management of credit risk in Chinese commercial bank along the rounts from individual risk to portfolio risk, from risk measurement to risk management and from theory to application. The paper is composed of three parts: the improvement on measurement and management of individual credit risk, the improvement on measurement and management of portfolio credit risk and their application.In the first part, firstly, the measurement of basic elements (exposure risk, default risk and recovery risk) and losses of individual credit risk are researched. The improved KMV model is constructed and allows premature default, time-varying default barrier impact. Therefore the measurement is more comprehensive, precise and consistent. Secondly, improvements on management of individual credit risk are reseached. Expected losses are compensated by modern pricing on loan. Unexpected losses are controlled by the optimal credit limit management based on differential game-theoretic. Extreme losses are reduced through credit risk mitigation (loan contract restriction term, collateral, guarantee and credit derivatives).In the second part, firstly, the modern measurement of portfolio credit risk is researched. The risk contribution from individual risk, the correlation of credit risk in portfolio and the credit risk losses measurement are examined. The default probability, default correlation, the scope of credit risk diversification and the limit distribution of losses are derived under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. Secondly, the improvement on management of portfolio credit risk is researched, such as the credit risk optimization with CVaR, decentralization and transfer management through credit derivatives and securitization products. The optimal combined proportion under CVaR is examined. The category and structure of credit derivatives and securitization products is analyzed. The principle and mechanism of credit risk transfer and diversification are examined.In the third part, the improvement on measurement and management of credit risk are applied to the china's practices. The improved KMV model is applied to the measurement of individual credit risk. The modern pricing and optimal limit are applied to the management of individual credit risk. The single-factor model and Monte Carlo simulation are applied to the measurement of portfolio credit risk. The credit risk optimization with CVaR and credit derivatives and securitization are applied to the management of portfolio credit risk.The paper has valueble academic referrences and practical applications on Chinese practice.
引文
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