商业银行信贷风险分析与管理研究
摘要
本文遵循“理论研究—计量分析—管理建议”的路线,采用系统科学、经济学、管理学等学科知识对商业银行信贷风险在如下几方面开展了研究:
首先,从系统的视角看,信贷业务系统具有系统属性,是一个开放式的复杂系统。信贷业务系统由信贷业务环境和诸多信贷业务主体构成,信贷业务主体与信贷业务环境、信贷资产以及信贷组合进行物质、能量和信息的交换。信贷业务机制由诸信贷业务主体之间的委托代理关系构成。信贷风险产生于信贷业务系统,并沿着信贷业务机制传递。
其次,基于系统视角建立了微观信贷风险结构。微观信贷风险结构由信贷业务的三个风险基点——贷款用途、客户信用和担保效力的不同组合构成,具有时变属性。在分析影响三个风险基点因素的基础上,着重研究了客户信贷风险评估,引入了影响客户信用的中观因素,结合粗糙集和BP神经网络对其进行评估。为使商业银行对三个风险基点进行有效的资源分配,本文采用AHP对此进行了研究,并提出管理建议。
再次,本文基于信贷组合风险成因分析的基础上,构建了信贷组合风险结构。并基于中国的现实状况,利用现代资产组合理论建立了基于信贷规模总量控制、行业授信额度限制、区域授信额度限制下的组合风险优化模型,并采用假想案例进行说明。
最后,本文提出商业银行应实施积极的信贷风险管理策略,采用贷款销售、贷款证券化、信用衍生工具积极调整存量结构;并针对不同类型的信贷业务引入银团贷款机制、保险机制,以实现风险的转移,同时约束银行信贷决策过程。
Following the clue of Theoretic Research-Quantitative Research-Manegement Suggestion, system science, economics and management science are adopted in the research of commercial bank credit risk in the paper. Listed under are the aspects of research result.
First, Credit business itself is a system, an open, complex system from the systematic aspect. Credit business system and credit business mechanism together make up of credit business architecture. Credit business participators exchanges matters, energy and information with the credit business circumstances, credit assets and credit asset portfolio. Credit business mechanisms are consist of authorization-agent between different participators. Credit risk comes into being in credit business system and transfers along the credit business mechanism.
Secondly, microscopic risk structures are constructed. The basic three points of credit risk, which are loan-using, customer credit, loan guarantee, make up of different microscopic risk structures by different combinations. And microscopic risk structures can be changed with time going by. On foundation of elements analysis of the three points of credit risk, customer credit is emphasized in this paper. By the theory of rough set and BP-neural network, customer credit is evalulized. what’s more, on the basis of analysis of the three basic points, AHP is adopted in order to realize how to rationally distribute management sources of commercial bank, and microscopic management suggestions are furthered.
Thirdly, credit asset portfolio structure is constructed by analyzing how it comes into being. Considering realistic status, portfolio risk model is constructed with constraints of credit scale, industry credit scale and regional credit scale by the guide of modern capital portfolio theory. And a supposed case is furthed.
Fourth, active management strategies are proposed at the end of the paper. Some derivative instruments, such as loan sales, loan securization and some credit derivative tools, can be used to adjust structure of credit risk actively. Bank group loan mechanism and credit risk insurance mechanism are put forward, which can realize risk transferring and contrain the process of decision-making.
首先,从系统的视角看,信贷业务系统具有系统属性,是一个开放式的复杂系统。信贷业务系统由信贷业务环境和诸多信贷业务主体构成,信贷业务主体与信贷业务环境、信贷资产以及信贷组合进行物质、能量和信息的交换。信贷业务机制由诸信贷业务主体之间的委托代理关系构成。信贷风险产生于信贷业务系统,并沿着信贷业务机制传递。
其次,基于系统视角建立了微观信贷风险结构。微观信贷风险结构由信贷业务的三个风险基点——贷款用途、客户信用和担保效力的不同组合构成,具有时变属性。在分析影响三个风险基点因素的基础上,着重研究了客户信贷风险评估,引入了影响客户信用的中观因素,结合粗糙集和BP神经网络对其进行评估。为使商业银行对三个风险基点进行有效的资源分配,本文采用AHP对此进行了研究,并提出管理建议。
再次,本文基于信贷组合风险成因分析的基础上,构建了信贷组合风险结构。并基于中国的现实状况,利用现代资产组合理论建立了基于信贷规模总量控制、行业授信额度限制、区域授信额度限制下的组合风险优化模型,并采用假想案例进行说明。
最后,本文提出商业银行应实施积极的信贷风险管理策略,采用贷款销售、贷款证券化、信用衍生工具积极调整存量结构;并针对不同类型的信贷业务引入银团贷款机制、保险机制,以实现风险的转移,同时约束银行信贷决策过程。
Following the clue of Theoretic Research-Quantitative Research-Manegement Suggestion, system science, economics and management science are adopted in the research of commercial bank credit risk in the paper. Listed under are the aspects of research result.
First, Credit business itself is a system, an open, complex system from the systematic aspect. Credit business system and credit business mechanism together make up of credit business architecture. Credit business participators exchanges matters, energy and information with the credit business circumstances, credit assets and credit asset portfolio. Credit business mechanisms are consist of authorization-agent between different participators. Credit risk comes into being in credit business system and transfers along the credit business mechanism.
Secondly, microscopic risk structures are constructed. The basic three points of credit risk, which are loan-using, customer credit, loan guarantee, make up of different microscopic risk structures by different combinations. And microscopic risk structures can be changed with time going by. On foundation of elements analysis of the three points of credit risk, customer credit is emphasized in this paper. By the theory of rough set and BP-neural network, customer credit is evalulized. what’s more, on the basis of analysis of the three basic points, AHP is adopted in order to realize how to rationally distribute management sources of commercial bank, and microscopic management suggestions are furthered.
Thirdly, credit asset portfolio structure is constructed by analyzing how it comes into being. Considering realistic status, portfolio risk model is constructed with constraints of credit scale, industry credit scale and regional credit scale by the guide of modern capital portfolio theory. And a supposed case is furthed.
Fourth, active management strategies are proposed at the end of the paper. Some derivative instruments, such as loan sales, loan securization and some credit derivative tools, can be used to adjust structure of credit risk actively. Bank group loan mechanism and credit risk insurance mechanism are put forward, which can realize risk transferring and contrain the process of decision-making.
引文
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