商业银行信贷风险管理内部审计的评价体系研究
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摘要
信贷风险是银行系统面临的最大风险,防范和化解信贷风险、加强信贷风险管理是商业银行的首要任务之一。内部审计作为一种独立的审查和评价活动,从财务审计、经营审计演变为管理审计,然后再向风险管理审计推进,逐渐把关注的核心转向风险管理,这对商业银行的信贷风险管理具有重要作用。而目前我国商业银行信贷风险管理内部审计的广度与深度,不仅与发达国家相比差距颇大,而且远远不能满足商业银行信贷风险管理的需要,主要原因之一是缺乏一套系统、科学、全面的信贷风险管理内部审计的评价体系。因此,根据信贷风险管理的需要,结合内部审计的特征,制定一套科学的评价体系,明确合理的评价原则,确立科学的评价方法和程序,具有重大的现实意义。
本文借鉴商业银行内部审计的国际经验,结合我国实际,对商业银行信贷风险管理内部审计的目标、主体、客体、内容和程序进行了系统的分析,构建了一个由银行信贷现状审计、风险管理体制审计、信贷风险评估审计和信贷风险控制审计构成的,包括定性指标与定量指标、方法指标与效果指标在内的信贷风险管理内部审计评价体系,并进行了检验性应用。
此次研究的重点是构建信贷风险管理内部审计的评价体系。笔者在整理、归纳文献的基础上搜集了大量评价指标,经过问卷调查及统计分析,对这些指标进行筛选,建立了包含20项指标的评价指标体系。随后,采用改进模糊层次分析法确定了各指标的相对权重,得出综合评价值,从内部审计的角度对信贷风险管理进行综合评分,从而初步评价信贷风险管理,确定其薄弱环节,明确审计方向。
As the credit risk is the biggest risk which of the banking faces, the prevention from credit risk and the improvement of credit risk management is one of the most important priority to the commercial bank. Internal auditing has been evoluting from financial auditing, management auditing, then to risk management auditing as the independent review and evaluation, pays attention to the risk management for the key point gradually. But hitherto, the development of internal auditing of credit risk management in China, can neither keep the pace with that in developed countries, nor meet the needs of commercial banks. One of the reasons is the lack of a performance measurement system systematic, scientific and comprehensive, for internal auditing of credit risk management. Thereby, it is essensial to establish such a performance measurement system.
Begin with defining the concept of internal auditing of credit risk management and reviewing the related researches on internal auditing and credit risk management evaluation, this study establishes a new general frame of internal auditing of credit risk management from the view of strategy, which focuses on both internal auditing aim and credit risk management aim, consists of four factors: credit status factor, risk management system factor, credit risk assessment factor and credit risk control factor, and includes qualitative and quantitative, and process and outcome. The study also applicates the system for test eventually.
The study focuses on the establishment of the index system. Based on open questionnaires and statistic analysis, the study selects 20 indexes from a great deal of indexes collected from the related researches. Then each index is weighed based on Improved Fuzzy Analytic Hierarchy Process, and normalized to measure the credit risk management, find out the weakness of the credit risk management of the commercial bank, and direct the internal auditing.
本文借鉴商业银行内部审计的国际经验,结合我国实际,对商业银行信贷风险管理内部审计的目标、主体、客体、内容和程序进行了系统的分析,构建了一个由银行信贷现状审计、风险管理体制审计、信贷风险评估审计和信贷风险控制审计构成的,包括定性指标与定量指标、方法指标与效果指标在内的信贷风险管理内部审计评价体系,并进行了检验性应用。
此次研究的重点是构建信贷风险管理内部审计的评价体系。笔者在整理、归纳文献的基础上搜集了大量评价指标,经过问卷调查及统计分析,对这些指标进行筛选,建立了包含20项指标的评价指标体系。随后,采用改进模糊层次分析法确定了各指标的相对权重,得出综合评价值,从内部审计的角度对信贷风险管理进行综合评分,从而初步评价信贷风险管理,确定其薄弱环节,明确审计方向。
As the credit risk is the biggest risk which of the banking faces, the prevention from credit risk and the improvement of credit risk management is one of the most important priority to the commercial bank. Internal auditing has been evoluting from financial auditing, management auditing, then to risk management auditing as the independent review and evaluation, pays attention to the risk management for the key point gradually. But hitherto, the development of internal auditing of credit risk management in China, can neither keep the pace with that in developed countries, nor meet the needs of commercial banks. One of the reasons is the lack of a performance measurement system systematic, scientific and comprehensive, for internal auditing of credit risk management. Thereby, it is essensial to establish such a performance measurement system.
Begin with defining the concept of internal auditing of credit risk management and reviewing the related researches on internal auditing and credit risk management evaluation, this study establishes a new general frame of internal auditing of credit risk management from the view of strategy, which focuses on both internal auditing aim and credit risk management aim, consists of four factors: credit status factor, risk management system factor, credit risk assessment factor and credit risk control factor, and includes qualitative and quantitative, and process and outcome. The study also applicates the system for test eventually.
The study focuses on the establishment of the index system. Based on open questionnaires and statistic analysis, the study selects 20 indexes from a great deal of indexes collected from the related researches. Then each index is weighed based on Improved Fuzzy Analytic Hierarchy Process, and normalized to measure the credit risk management, find out the weakness of the credit risk management of the commercial bank, and direct the internal auditing.
引文
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[28]方会磊.银监会调研督导中小银行加强内审[N].21世纪经济报道,2008-04-14
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[39]林朝颖.时代呼唤商业银行风险管理审计[J].中国审计,2007(01):65-67
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[41]刘新琳,周兵.内部审计参与企业风险管理的路径分析[J].审计月刊,2008(01):41-42
[42]马超群,丁玉.商业银行信贷风险及其度量模型研究[J].现代管理科学,2006(10):5-6
[43]蒙赞华,宋建华.论商业银行内部审计在风险管理中的职责和作用[J].广西金融研究,2006(06):39-42
[44]朴明根,蔡华.商业银行信贷组合管理及其模型构建问题的探讨[J].商业研究,2005(19):140-144
[45]孙迎冬.浅析商业银行信贷风险管理[J].现代商业,2008(05):38-39
[46]滕继东,项梦杰等.改进模糊层次分析法确定地质灾害危险性评价指标权重的研究[J].安徽农业科学,2008(01):22-23
[47]王光远,林朝颖.新巴塞尔资本协议下银行风险管理审计[J].财会通讯,2008(01):20-24
[48]汪培庄,李洪兴.模糊系统理论与模糊计算机[M].北京:科学出版社,1996
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[50]熊义杰,刘莉.灰色系统理论下商业银行风险指标体系的构建[J].商业研究,2005(18):129-132
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[53]倪向荣.商业银行信贷风险防范分析[J].时代金融,2008(04):61-63
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[2]Alan Reichert.Yih-Wen Shyu.Derivative activities and the risk of international banks:A market index and VaR approach[J].International Review of Financial Analysis,2003,12:489-511
[3]Altam.E.I.Headman.c.Narayanan.P.Zeta.A New model to identify bankruptcy risk of corporation[J].Journal of Banking and Finance,1997,1:29-54
[4]American Psycho logical Association.Technical recommendations for psycho logical tests and diagnostic techniques[S].Psycho Logical Bulletin,1954:214
[5]Basel Committee.Basel Ⅱ:Internationl Convergence of Capital Measurement and Capital Standards:a Revised Framework[M],2004
[6]Carol Alexander.Bayesian methods for measuring operational Risk[J].Discussion Papers in Finance,2000,2:79-119
[7]Coats P.K.& Fant L.F.Recognizing financial distress patterns using aneural network tool[J].Financial Management,1993,22:72-93
[8]COSO.Enterprise Risk Management-Integrated Framework(Summary)[R].2004
[9]Fama E.Efficient Capital Market:A review of theory and empirical work[J].Journal of Finance,1970,13:305-340
[10]IIA.A vision for the future:Professional practices framework for internal audit[Z].Report of the Guidance Task Force to The IIA's Board of Directors,1999
[11]IIA.Apply COSO's Enterprise Risk Management- Integrate Framework[EB/OL].http://www.coso.org,2004-09-13
[12]IIA.Internal Auditing's Role in Sections 302 and 404 of the Sarbanes-Oxley Act of 2002[EB/OL].http://www.theiia.org/iia/download.cfm?file=1655,2004-05-12
[13]IIA.The Role of Internal Audit in Risk Management[EB/OL].http://www.theiia.org,2002-09-15
[14]Jan Cattrysse.Reflections on Corporate Governance and the role of the internal auditor[EB/OL].http://papers.ssrn.com/so13/paper.cfm?abstract_id=485364,2005-01-16
[15]J.P.Morgan.Creditmetrics technical document[C].New York,1997,4:278-304
[16]Luciano Campi.Simon Polbennikov&Alessandro Sbuelz.Systematic equity-based credit risk:A CEV model with jump to default[J].Journal of Economic Dynamics&Control,2008,5:84-110
[17]Markowitz,H.M.Mean-variance analysis in portfolio choice and capital markets[J].Journal of Finance,1952,7:77-91
[18]Merton R.C.Option pricing when underlying stock returns are discontinous[J].J of Financial Economics,1976,3:125-144
[19]Michel C.G.Dan& M.Robert.A.Comparative analysis of current credit risk models[J].Journal of Banking and Finance,2000,24:59-117
[20]Michel Crouhy.Dan Galai& Robert Mark:Risk Management.Lst Edition[Z]Mc-Graw-Hil,2000:396-399
[21]Pamela Nickell,William Perraudin&Simone Varotto.Ratings-based credit risk modelling:An Empirical Analysis[J].International Review of Financial Analysis,2007,6:67-85
[22]S.Ji& X.Li,Y.Ma.Optimal tolerance allocation based on fuzzy comprehensive evaluation and genertic algorithm[J].The Intemational Journal of Advanced Manufacturing Technology,2000,16:461-468
[23]Sharpe,W.Capital Asset Prices:A theory of market Equi-librium under conditions of risk[J].Journal of Finance,1964,19:425-442
[24]Walker,P.L.W.G.Shenkir& T.L.Barton.Enterprise risk management:Putting it all together[Z].Institute of Internal Auditors Research Foundation,2002
[25]陈鸿志.商业银行信贷风险的成因及防范[D].硕士学位论文,郑州大学,2006
[26]陈晶,华亚丽.社会保险经办机构风险管理的监督与评价[J].天津社会保险,2008(1):9-11
[27]戴一鸣,张金隆.应用FAHP确定供应链绩效评价指标权重[J].华中师范大学学报,2005,39(2):190-194
[28]方会磊.银监会调研督导中小银行加强内审[N].21世纪经济报道,2008-04-14
[29]郝黎仁,樊元等.SPSS实用统计分析[M].北京:中国水利水电出版社,2002:309-310
[30]郭银环.浅议内部审计的作用及风险防范对策[J].集团经济研究,2007(08):344
[31]国务院国有资产监督管理委员会.中央企业内部审计管理暂行办法[EB/OL].http://www.341aw.com/lawfg/law/6/1187/print_461738464325.shtml
[32]姜启源.数学模型[M].北京:高等教育出版社,1993:86
[33]蒋国庆,肖冬荣.利用模糊层次综合评判法评估信贷风险[J].统计与决策,2005(04):17-18
[34]康书生.商业银行内控制度:借鉴与创新[M].北京:中国发展出版社,1999,2:34-35
[35]李扬,刘华,余维彬.银行信贷风险管理理论技术和实践[M].北京:经济 管理出版社,2003:13-1
[36]李永,胡向红.改进的模糊层次分析法[M].西北大学学报,2005,35(1):11-16
[37]廖小蝶,贺亮.我国商业银行信贷风险研究[J].财经界,2007(10):73-74
[38]卢鸿.现代商业银行内部控制系统论[M].北京:中国金融出版社,2001,9:24-27
[39]林朝颖.时代呼唤商业银行风险管理审计[J].中国审计,2007(01):65-67
[40]刘冬荣,贺勇.基于模糊数学的内部审计参与风险管理研究[J].价值工程,2007(2):119-123
[41]刘新琳,周兵.内部审计参与企业风险管理的路径分析[J].审计月刊,2008(01):41-42
[42]马超群,丁玉.商业银行信贷风险及其度量模型研究[J].现代管理科学,2006(10):5-6
[43]蒙赞华,宋建华.论商业银行内部审计在风险管理中的职责和作用[J].广西金融研究,2006(06):39-42
[44]朴明根,蔡华.商业银行信贷组合管理及其模型构建问题的探讨[J].商业研究,2005(19):140-144
[45]孙迎冬.浅析商业银行信贷风险管理[J].现代商业,2008(05):38-39
[46]滕继东,项梦杰等.改进模糊层次分析法确定地质灾害危险性评价指标权重的研究[J].安徽农业科学,2008(01):22-23
[47]王光远,林朝颖.新巴塞尔资本协议下银行风险管理审计[J].财会通讯,2008(01):20-24
[48]汪培庄,李洪兴.模糊系统理论与模糊计算机[M].北京:科学出版社,1996
[49]吴明隆.SPSS统计应用实务问卷分析与应用统计[M].北京:科学出版社,2003
[50]熊义杰,刘莉.灰色系统理论下商业银行风险指标体系的构建[J].商业研究,2005(18):129-132
[51]姚敏,张森.模糊一致矩阵在软科学中的应用[J].系统工程,1997,15(2):54-57
[52]倪珂琪.我国国有商业银行内部审计体系研究[J].科技情报开发与经济,2006(07):33-34
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