商業(yè)銀行信用風(fēng)險(xiǎn)度量模型在我國的適用性研究

金融論文編號:JR077 本份論文包括開題報(bào)告,畢業(yè)實(shí)習(xí)報(bào)告,任務(wù)書，外文翻譯，論文字?jǐn)?shù):19310,頁數(shù):33

目　錄
摘   要 ...........................................................I
Abstract ..........................................................II
1 緒  論 ..........................................................1
1.1   研究背景.....................................................1
1.2  研究的目的、意義 .............................................1
1.2.1  研究的目的 .................................................1
1.2.2  研究的意義................................................. 2
1.3   國內(nèi)外研究現(xiàn)狀...............................................2
1.3.1  國外研究現(xiàn)狀 ...............................................2
1.3.2  國內(nèi)研究現(xiàn)狀............................................... 3
1.4   研究方法與內(nèi)容...............................................3
2  理論基礎(chǔ) .......................................................5
1.1 商業(yè)銀行信用風(fēng)險(xiǎn)的概念和特點(diǎn).................................. 5
1.1.1 商業(yè)銀行信用風(fēng)險(xiǎn)的概念 ......................................5
1.1.2 商業(yè)銀行信用風(fēng)險(xiǎn)的特點(diǎn).......................................5
2.2  現(xiàn)代商業(yè)銀行信用風(fēng)險(xiǎn)度量方法 .................................6
2.2.1  傳統(tǒng)風(fēng)險(xiǎn)度量方法 ...........................................6
2.2.2  現(xiàn)代風(fēng)險(xiǎn)度量方法 ...........................................7
2.2.3  新風(fēng)險(xiǎn)度量方法 .............................................7
3  現(xiàn)代商業(yè)銀行信用風(fēng)險(xiǎn)研究 .......................................8
3.1  我國商業(yè)銀行信用風(fēng)險(xiǎn)現(xiàn)狀 .....................................8
3.2  商業(yè)銀行信用風(fēng)險(xiǎn)產(chǎn)生原因 .....................................8
3.3  現(xiàn)代商業(yè)銀行信用風(fēng)險(xiǎn)的影響因素 ...............................9
4  現(xiàn)代商業(yè)銀行信用風(fēng)險(xiǎn)度量模型研究 ...............................10
4.1  KMV模型 ......................................................10
4.1.1  KMV簡介 ....................................................10
4.1.2  評價 .......................................................10
4.1.3  KMV模型在我國的適用性 ......................................11
4.2  Credit Metrics模型 ...........................................11
4.2.1  模型的簡介 .................................................11
4.2.2  Credit Metrics 框架模型的評價 ..............................12
4.2.3  Credit Metrics 框架模型在我國的適用性 ......................12
4.3  Credit Risk+模型 .............................................13
4.3.1  模型的簡述................................................. 13
4.3.2  模型的評價................................................. 13
4.3.3  Credit Risk+模型在我國的適用性分析......................... 13
4.4  Credit Portfolio View 模型 ...................................14
4.4.1  模型的簡述................................................. 14
4.4.2  模型的評價 .................................................14
4.4.3  Credit Portfolio View 模型在我國的適用性分析 ...............15
4.5  幾種信用風(fēng)險(xiǎn)度量模型的對比分析 ...............................15
5  我國商業(yè)銀行信用風(fēng)險(xiǎn)度量研究................................... 17
5.1  我國商業(yè)銀行信用風(fēng)險(xiǎn)度量研究................................. 17
5.1.1  我國商業(yè)銀行信用風(fēng)險(xiǎn)主要的度量方法..........................17
5.1.2  我國商業(yè)銀行信用風(fēng)險(xiǎn)度量方法應(yīng)用現(xiàn)狀 .......................18
5.2  KMV模型在我國的適用性研究.................................... 18
5.2.1  模型分析 ...................................................18
5.2.2  實(shí)證檢驗(yàn) ...................................................19
結(jié)    論.......................................................... 24
參考文獻(xiàn) ..........................................................26
致    謝.......................................................... 28
附    錄1 .........................................................32
附    錄2 .........................................................38

摘     要
       信用風(fēng)險(xiǎn)是金融市場上最古老的風(fēng)險(xiǎn)之一，也是導(dǎo)致商業(yè)銀行破產(chǎn)的最常見的原因。所以，信用風(fēng)險(xiǎn)管理是整個商業(yè)銀行經(jīng)營過程中的關(guān)鍵環(huán)節(jié)之一。當(dāng)前，面對金融市場環(huán)境的不斷變化以及加入WTO后所面臨的國外銀行業(yè)的競爭，而我國雖然也是有不少的理論的發(fā)展和實(shí)際的應(yīng)用，但是目前國內(nèi)信用評級體系還很不成熟，如何盡快提高信用風(fēng)險(xiǎn)管理水平已成為我國商業(yè)銀行面臨的最緊迫的問題，通過分析和比較國外成熟的信用風(fēng)險(xiǎn)度量模型，并結(jié)合我國商業(yè)銀行的實(shí)際情況，建立適合我國國情的信用風(fēng)險(xiǎn)度量模型。

關(guān)鍵詞：商業(yè)銀行     信用風(fēng)險(xiǎn)     信用風(fēng)險(xiǎn)度量模型 

Abstract
       Credit risks is that financial market mounts one of the most antiquated risk , is also the most common cause leading to a commercial bank go bankrupt. That reason why, credit risks are managed is an entire commercial bank manage one of key link in process. Present , ceaselessness facing the financial market environment change and join abroad banking competition been confronted with by the WTO queen, credit rating system is at present in the homeland fairly extremely not mature but although our country being also to development of theory and actual application having quite a few, how as soon as possible to improve credit risks control level already becoming the most urgent problem facing our country commercial bank , the main body of a book is passed analyzing the parallel mature sum abroad credit risks magnanimity model , is tied in wedlock and our country commercial bank reality, be that the credit risks magnanimity model founding our national condition suitable carries out preliminary research.
Keywords： Commercial bank    Credit risks     credit risks magnanimity model