我国商业银行信用风险度量模型的选择与实证研究
摘要
信用风险是商业银行面临的主要风险,信用风险管理一直是银行关注的重点。2004年6月正式出台的《新巴塞尔协议》对银行度量信用风险提出了更高的要求,推荐使用技术含量极高的内部评级方法。目前,西方发达国家的银行业己经采取了这种先进的内部信用风险度量模型。通过这些模型的使用,银行大大提高了自身的风险管理能力。由于历史和体制的原因,我国商业银行对信用风险的度量更多的是停留在传统的信用分析方法,远不能满足商业银行对贷款安全性度量的要求。
因此,本文以此作为研究对象,采用定性和定量结合的方法,展开对信用风险度量模型相关理论的研究,通过对国际主流信用风险计量模型具体框架的考察以及KMV模型在我国具体应用的实证分析,试图找出适合我国实际的信用风险模型,以提高我国商业银行的竞争力。全文共分为五章:
第一章介绍选题的背景以及意义,并分析了国内外关于信用风险度量的研究现状,并提出了本文的研究思想。
第二章对国际上主流的四类信用风险度量模型进行了介绍,并分析各个模型各自的优缺点。同时介绍了《新巴塞尔资本协议》对信用风险度量的相关规定。
第三章主要结合我国的实际国情,选择适合我国商业银行信用风险管理的KMV模型。
第四章从深沪股市中选取十家上市公司作为样本,进行了KMV模型的实证研究。
第五章分析了KMV模型在我国的适用性问题,并提出相关的对策建议来使我国具备条件采用KMV模型。
Commercial banks always pay much attention to credit risk management, which accounts for the major risk commercial banks are facing. In June 2004, formally promulgated "The New Basel Accord" has set higher requirements of the bank measure credit risk, as well as having recommended using the internal rating method that possesses extremely high technology content. At present, the banking has adopted such advanced internal credit risk measurement model in developed Western countries. Through the use of these models, banks greatly enhanced their risk management ability. Due to the historical and institutional reasons, China's commercial banks remain in using the traditional credit analysis methods, far from the commercial banks' loan security reckoning requirement.
Basing on it, this article uses qualitative and quantitative methods to carry on the theoretical analysis of the credit risk measurement models. Through the introduction of the mainstream international credit risk measurement model's specific framework and KMV model in China's specific application of empirical analysis, this article tries to find out China's actual credit risk model to enhance China's commercial banks' competitiveness. The article is divided into five chapters:
The first chapter describes the background and significance of topics, analyses the status quo of credit risk measure both at home and abroad, and puts forward the ideas of this article.
The second chapter introduces four categories of international mainstream credit risk measurement models, and analyses four models' advantages and disadvantages. At the same time it introduces the credit risk measurement's relevant provisions of "The New Basel Accord".
In the third chapter, the author chooses the KMV model as China's commercial banks' credit risk management model under the actual conditions in China.
In chapter four, the author selects 10 listed companies as a sample from the Shenzhen and Shanghai stock market, and carries out the empirical study of the KMV model.
In chapter five, the article analyses the applicability of KMV model in China, and tables some proposals related to China's conditions to use KMV model.
因此,本文以此作为研究对象,采用定性和定量结合的方法,展开对信用风险度量模型相关理论的研究,通过对国际主流信用风险计量模型具体框架的考察以及KMV模型在我国具体应用的实证分析,试图找出适合我国实际的信用风险模型,以提高我国商业银行的竞争力。全文共分为五章:
第一章介绍选题的背景以及意义,并分析了国内外关于信用风险度量的研究现状,并提出了本文的研究思想。
第二章对国际上主流的四类信用风险度量模型进行了介绍,并分析各个模型各自的优缺点。同时介绍了《新巴塞尔资本协议》对信用风险度量的相关规定。
第三章主要结合我国的实际国情,选择适合我国商业银行信用风险管理的KMV模型。
第四章从深沪股市中选取十家上市公司作为样本,进行了KMV模型的实证研究。
第五章分析了KMV模型在我国的适用性问题,并提出相关的对策建议来使我国具备条件采用KMV模型。
Commercial banks always pay much attention to credit risk management, which accounts for the major risk commercial banks are facing. In June 2004, formally promulgated "The New Basel Accord" has set higher requirements of the bank measure credit risk, as well as having recommended using the internal rating method that possesses extremely high technology content. At present, the banking has adopted such advanced internal credit risk measurement model in developed Western countries. Through the use of these models, banks greatly enhanced their risk management ability. Due to the historical and institutional reasons, China's commercial banks remain in using the traditional credit analysis methods, far from the commercial banks' loan security reckoning requirement.
Basing on it, this article uses qualitative and quantitative methods to carry on the theoretical analysis of the credit risk measurement models. Through the introduction of the mainstream international credit risk measurement model's specific framework and KMV model in China's specific application of empirical analysis, this article tries to find out China's actual credit risk model to enhance China's commercial banks' competitiveness. The article is divided into five chapters:
The first chapter describes the background and significance of topics, analyses the status quo of credit risk measure both at home and abroad, and puts forward the ideas of this article.
The second chapter introduces four categories of international mainstream credit risk measurement models, and analyses four models' advantages and disadvantages. At the same time it introduces the credit risk measurement's relevant provisions of "The New Basel Accord".
In the third chapter, the author chooses the KMV model as China's commercial banks' credit risk management model under the actual conditions in China.
In chapter four, the author selects 10 listed companies as a sample from the Shenzhen and Shanghai stock market, and carries out the empirical study of the KMV model.
In chapter five, the article analyses the applicability of KMV model in China, and tables some proposals related to China's conditions to use KMV model.
引文
1 刘迎春,现代信用风险度量模型的比较与发展[J],辽宁经济,2004,(10):28
2 陈德胜,冯宗宪.国际主流信用风险度量技术的比较[J].经济论坛,2004,22.77-79
1 吴恒煜.公司信用风险的KMV模型述评[J].广东行政学院学报,2005,(2):66-69
2 马坚,张卫朋,刘新梅.现代信用风险模型比较分析[J].商业研究,2004,(8):3-6
1 《商业银行风险管理的理论与系统》,彭江平,西南财经大学出版社,2001
2 “财务危机预警分析判别模型”,张玲,数量经济技术绎济研究,2000.3
1 Morgan,J.P...Credit Metrics.New York,Technical Document,April 2,1997
1 Cumby,Robert E.,Pastine,Tuvana.Emerging market debt:measuring credits quality and examining relative pricing.Journal of International Money and Finance,2001(20),591-609
2 Angbazo,Lazarus A.,Mei,Jianping,Saunders,Anthony.Credit Spreads in the Market for Highly Leveraged Transaction Loans.Journal of Banking&Finace,1998(22),1249-1282
1 Duffle,Darrell,Lando,David.Term Structures of Credit Spread with Incomplete Accounting Information.Econometrica,2001,vol 69(3):633-664
2 Guha,Debashis,Hiris,Lorenev.The aggregate credit spread and the business cycle.International Review of Financial Analysis,2002(11),219-227
1 方法1采用金融机构所在国家的评级来确定风险权重
2 采用金融机构本身的评级来确定风险权重
3 短期是指小于或等于三个月的资产
4 表格最后一行中的数字在1996年6月的权重为AAA到AA-:20%,A-到B-:100%,低于B-:150%,未评级:100%
1 Gunter,Loftier.The Effects of Estimation Error on Measures of Portfolio Credit Risk.Journal of Banking and Finance.2003(27),1427-1453
1 http://www.financialnews.com.cn/jryw/200611150184.htm
2 http://www.cs.com.cn/sylm/04/200612/t20061217_1028349.htm
[1]刘迎春:现代信用风险度量模型的比较与发展[J].辽宁经济,2004,(10):28
[2]陈德胜,冯宗宪:国际主流信用风险度量技术的比较[J].经济论坛,2004,22.77-79
[3]吴恒煜:公司信用风险的KMV模型述评[J].广东行政学院学报,2005,(2):66-69
[4]马坚,张卫朋,刘新梅:现代信用风险模型比较分析[J].商业研究,2004,(8):3-6
[5]陈建:《信用评分模型技术与应用》[M],北京,中央财政经济出版社,2005.11
[6]于研:《信用风险的测定与管理》[M],上海,上海财经大学出版社,2003年10月版
[7]詹原瑞:《银行信用风险的现代度量与管理》[M],北京经济科学出版社,2004年11月
[8]杨军:《银行信用风险—理论、模型和实证分析》[M],北京,中国财政经济出版社,2004年9月
[9]李元,赵延孟:信用风险模型的研究[J].广州大学学报(自然科学版),2004,vol.3NO.5:385-388
[10]潘蔚林,王可:信用风险计量模型的分析与借鉴[J].北方经贸,2002,8:49-50
[11]姚舜,黄明喜:信贷风险预警模型初探[J].理论与实践,2004,2:13-15
[12]安东尼·桑德斯著,刘宇飞译:信用风险度量:风险估值的新方法与其他范式[M],北京:机械工业出版社,2001
[13]谢启标:新巴塞尔协议下商业银行风险管理探析[J].东南学术,2004,5:99-103
[14]冯敬阳:我国征信业发展的现状、模式选择及法律构建[J].西南金融,2004,8:55-56
[15]胡亚兰:信息不对称下银行信贷风险的研究[J].当代经济,2004.4
[16]张丽华:我国商业银行利率风险管理现状与对策[J].山东大学学报.2004.6
[17]夏明,杨春甫:“行为金融学”发展方向新探[J].武汉大学学报(哲学社会科学版).2005.(2):268-273
[18]陈红:行为金融学研究综述[J].经济经纬.2005.4:129-131
[19]姜波克,薛斐:行为金融学的发展与探索[J].复旦学报(社会科学版).2004.5:57-62
[20]舒灏:浅析行为金融理论在中国的应用[J].广西金融研究.2005.6:49-52
[21]吴军,张继宝:信用风险量化模型比较分析[J].国际金融研究,2004.8:50-54.
[22]张玲,张佳林:信用风险评估方法发展趋势[J].预测,2000.4.
[23]朱小宗等:现代信用风险度量模型剖析与综合比较[J].财经研究,2004.9:35-36
[24]彭书杰,詹原瑞:国内外两种信用风险模型的比较与剖析[J],甘肃科学学报,2002.1:91-95
[25]J.P.Morgan:Risk Metrics-Technical Document.4~(th),1996,New York:Morgan Guaranty Trust Company
[26]Wilson,T.Credit Risk Modeling:A New Approach.New York,Mc Kinsey Inc.,1997a
[27]Wilson,T.Portfolio Credit Risk.Risk Magazine,September and October,1997b
[28]KMV Corporation.Modeling Default Risk[J].San Francisco California,1993,11.
[29]KMV Corporation.Credit Monitor Overview[M].San Francisco California,1993.
[30]Kealhofer,Stephen(1998).Portfolio management of default risk[J].Working Paper,KMV Corp.
[31]McKinsey and Co.Credit Portfolio View.New York,Mckinsey and Co.,1997
[32]Morgan,J.P…Credit Metrics.New York,Technical Document,April 2,1997
[33]Edward I · Altman,Anthony Saunders.Credit risk measurement.Journal of Banking & Finance,1998,21;1721-1742
[34] Altman EI. Finance ratio, discriminate analysis and the prediction of corporate bankruptcy [J]. Journal of Finance, 1969,9.
[35] the Basel Committee. The New Basel Capital Accord: an explanatory note[M], 2001.
[36] Martin D. Early warnin Merton,Robert C. (1974). On the pricing of corporate debt:The risk structure of interest rate [J]. Journal of Finance 29, 1974, 449-470.
2 陈德胜,冯宗宪.国际主流信用风险度量技术的比较[J].经济论坛,2004,22.77-79
1 吴恒煜.公司信用风险的KMV模型述评[J].广东行政学院学报,2005,(2):66-69
2 马坚,张卫朋,刘新梅.现代信用风险模型比较分析[J].商业研究,2004,(8):3-6
1 《商业银行风险管理的理论与系统》,彭江平,西南财经大学出版社,2001
2 “财务危机预警分析判别模型”,张玲,数量经济技术绎济研究,2000.3
1 Morgan,J.P...Credit Metrics.New York,Technical Document,April 2,1997
1 Cumby,Robert E.,Pastine,Tuvana.Emerging market debt:measuring credits quality and examining relative pricing.Journal of International Money and Finance,2001(20),591-609
2 Angbazo,Lazarus A.,Mei,Jianping,Saunders,Anthony.Credit Spreads in the Market for Highly Leveraged Transaction Loans.Journal of Banking&Finace,1998(22),1249-1282
1 Duffle,Darrell,Lando,David.Term Structures of Credit Spread with Incomplete Accounting Information.Econometrica,2001,vol 69(3):633-664
2 Guha,Debashis,Hiris,Lorenev.The aggregate credit spread and the business cycle.International Review of Financial Analysis,2002(11),219-227
1 方法1采用金融机构所在国家的评级来确定风险权重
2 采用金融机构本身的评级来确定风险权重
3 短期是指小于或等于三个月的资产
4 表格最后一行中的数字在1996年6月的权重为AAA到AA-:20%,A-到B-:100%,低于B-:150%,未评级:100%
1 Gunter,Loftier.The Effects of Estimation Error on Measures of Portfolio Credit Risk.Journal of Banking and Finance.2003(27),1427-1453
1 http://www.financialnews.com.cn/jryw/200611150184.htm
2 http://www.cs.com.cn/sylm/04/200612/t20061217_1028349.htm
[1]刘迎春:现代信用风险度量模型的比较与发展[J].辽宁经济,2004,(10):28
[2]陈德胜,冯宗宪:国际主流信用风险度量技术的比较[J].经济论坛,2004,22.77-79
[3]吴恒煜:公司信用风险的KMV模型述评[J].广东行政学院学报,2005,(2):66-69
[4]马坚,张卫朋,刘新梅:现代信用风险模型比较分析[J].商业研究,2004,(8):3-6
[5]陈建:《信用评分模型技术与应用》[M],北京,中央财政经济出版社,2005.11
[6]于研:《信用风险的测定与管理》[M],上海,上海财经大学出版社,2003年10月版
[7]詹原瑞:《银行信用风险的现代度量与管理》[M],北京经济科学出版社,2004年11月
[8]杨军:《银行信用风险—理论、模型和实证分析》[M],北京,中国财政经济出版社,2004年9月
[9]李元,赵延孟:信用风险模型的研究[J].广州大学学报(自然科学版),2004,vol.3NO.5:385-388
[10]潘蔚林,王可:信用风险计量模型的分析与借鉴[J].北方经贸,2002,8:49-50
[11]姚舜,黄明喜:信贷风险预警模型初探[J].理论与实践,2004,2:13-15
[12]安东尼·桑德斯著,刘宇飞译:信用风险度量:风险估值的新方法与其他范式[M],北京:机械工业出版社,2001
[13]谢启标:新巴塞尔协议下商业银行风险管理探析[J].东南学术,2004,5:99-103
[14]冯敬阳:我国征信业发展的现状、模式选择及法律构建[J].西南金融,2004,8:55-56
[15]胡亚兰:信息不对称下银行信贷风险的研究[J].当代经济,2004.4
[16]张丽华:我国商业银行利率风险管理现状与对策[J].山东大学学报.2004.6
[17]夏明,杨春甫:“行为金融学”发展方向新探[J].武汉大学学报(哲学社会科学版).2005.(2):268-273
[18]陈红:行为金融学研究综述[J].经济经纬.2005.4:129-131
[19]姜波克,薛斐:行为金融学的发展与探索[J].复旦学报(社会科学版).2004.5:57-62
[20]舒灏:浅析行为金融理论在中国的应用[J].广西金融研究.2005.6:49-52
[21]吴军,张继宝:信用风险量化模型比较分析[J].国际金融研究,2004.8:50-54.
[22]张玲,张佳林:信用风险评估方法发展趋势[J].预测,2000.4.
[23]朱小宗等:现代信用风险度量模型剖析与综合比较[J].财经研究,2004.9:35-36
[24]彭书杰,詹原瑞:国内外两种信用风险模型的比较与剖析[J],甘肃科学学报,2002.1:91-95
[25]J.P.Morgan:Risk Metrics-Technical Document.4~(th),1996,New York:Morgan Guaranty Trust Company
[26]Wilson,T.Credit Risk Modeling:A New Approach.New York,Mc Kinsey Inc.,1997a
[27]Wilson,T.Portfolio Credit Risk.Risk Magazine,September and October,1997b
[28]KMV Corporation.Modeling Default Risk[J].San Francisco California,1993,11.
[29]KMV Corporation.Credit Monitor Overview[M].San Francisco California,1993.
[30]Kealhofer,Stephen(1998).Portfolio management of default risk[J].Working Paper,KMV Corp.
[31]McKinsey and Co.Credit Portfolio View.New York,Mckinsey and Co.,1997
[32]Morgan,J.P…Credit Metrics.New York,Technical Document,April 2,1997
[33]Edward I · Altman,Anthony Saunders.Credit risk measurement.Journal of Banking & Finance,1998,21;1721-1742
[34] Altman EI. Finance ratio, discriminate analysis and the prediction of corporate bankruptcy [J]. Journal of Finance, 1969,9.
[35] the Basel Committee. The New Basel Capital Accord: an explanatory note[M], 2001.
[36] Martin D. Early warnin Merton,Robert C. (1974). On the pricing of corporate debt:The risk structure of interest rate [J]. Journal of Finance 29, 1974, 449-470.