信贷矩阵法和信用风险附加法的比较研究
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摘要
信用风险模型是近年来在一些国际性商业银行内部用于衡量银行资产信用风险的模型方法，它在有效测评商业银行信用风险方面发挥了重要的作用。对国外先进的信用风险模型的理论方法进行研究，并将其应用到我国商业银行信用风险管理的实际过程中，这对提高我国商业银行信用风险的管理水平、降低不良信贷资产比重、有效防范和化解金融风险，具有重要的理论和现实意义。依据各个信用风险模型的适用条件，同时结合我国的实际情况，本文选用了信贷矩阵法和信用风险附加法进行系统深入的研究。
论文的第一部分概述了国际上流行的信用风险模型，同时对信贷矩阵法和信用风险附加法的基本原理——VaR思想作了简要回顾。
论文的主体部分首先从分析框架、计算步骤和适用范围等方面对信贷矩阵法和信用风险附加法做了详细的阐述；接着剖析了我国商业银行贷款信用风险的成因、特点和当前信用风险防范现状；然后从我国商业银行的实际出发，对应用此两种模型的可行性以及具体应用方面进行了初步设想；最后从可操作性的角度出发，根据这两个模型的一些特点，通过一个案例来说明如何对信贷风险进行度量。
本文根据我国商业银行信用风险的特点，系统地研究了信贷矩阵法和信用风险附加法在我国商业银行中的实际应用问题，以期提高我国商业银行信用风险管理的水平，促进整个金融体系的健康有序发展。
In recent years Credit Risk Model is widely used within international banking groups, which plays a very important role in measuring credit risk of assets of commercial banks. It's of great importance both in theory and practice to study on advanced theoretical methods of credit risk models and apply them to the credit risk management of commercial banks in China, so as to enhance the management of credit risk, lower the ratio of bad assets, effectively keep away and resolve the financial risks of commercial banks in China. Two Credit Risk Model, namely Creditmetiics and Credirisk+, are paid systemic and in-depth research here in this thesis.
Firstly, a brief introduction is made on other popular credit risk models. Then comes a retrospect of VaR , the underlying theory of Creditmetrics and Credirisk+.
In the principal part of the thesis, the theoretical framework, methods and processes, as well as application of Creditmetrics and Credirisk+ are expounded in details. Then analysis is made on the reason, features and status quo of credit risk in commercial banks. The feasibility of the above mentioned models are demonstrated and its potential application is conceived. The thesis is concluded with a case study on the common features of the two models and their feasibility.
Taking into account the characteristics of credit risk of commercial banks in China and the national conditions of our country, I have a systematical research on the application of Creditmetiics and Credirisk+ in banks in China in this thesis, aiming at improving the credit risk management of commercial banks in China as well as sound and orderly development of the overall financial system.
论文的第一部分概述了国际上流行的信用风险模型，同时对信贷矩阵法和信用风险附加法的基本原理——VaR思想作了简要回顾。
论文的主体部分首先从分析框架、计算步骤和适用范围等方面对信贷矩阵法和信用风险附加法做了详细的阐述；接着剖析了我国商业银行贷款信用风险的成因、特点和当前信用风险防范现状；然后从我国商业银行的实际出发，对应用此两种模型的可行性以及具体应用方面进行了初步设想；最后从可操作性的角度出发，根据这两个模型的一些特点，通过一个案例来说明如何对信贷风险进行度量。
本文根据我国商业银行信用风险的特点，系统地研究了信贷矩阵法和信用风险附加法在我国商业银行中的实际应用问题，以期提高我国商业银行信用风险管理的水平，促进整个金融体系的健康有序发展。
In recent years Credit Risk Model is widely used within international banking groups, which plays a very important role in measuring credit risk of assets of commercial banks. It's of great importance both in theory and practice to study on advanced theoretical methods of credit risk models and apply them to the credit risk management of commercial banks in China, so as to enhance the management of credit risk, lower the ratio of bad assets, effectively keep away and resolve the financial risks of commercial banks in China. Two Credit Risk Model, namely Creditmetiics and Credirisk+, are paid systemic and in-depth research here in this thesis.
Firstly, a brief introduction is made on other popular credit risk models. Then comes a retrospect of VaR , the underlying theory of Creditmetrics and Credirisk+.
In the principal part of the thesis, the theoretical framework, methods and processes, as well as application of Creditmetrics and Credirisk+ are expounded in details. Then analysis is made on the reason, features and status quo of credit risk in commercial banks. The feasibility of the above mentioned models are demonstrated and its potential application is conceived. The thesis is concluded with a case study on the common features of the two models and their feasibility.
Taking into account the characteristics of credit risk of commercial banks in China and the national conditions of our country, I have a systematical research on the application of Creditmetiics and Credirisk+ in banks in China in this thesis, aiming at improving the credit risk management of commercial banks in China as well as sound and orderly development of the overall financial system.
引文
1、Anthony Saunders，刘宇飞译，《信用风险度量风险估值的新方法与其他范式》， 北京：机械工业出版社，2001
2、Greene，W．H．，王明舰(1998)等译，《经济计量分析》，北京：中国社会科学出版社，1998
3、John B．Caouette等，石晓军、张震霞译，《演进着的信用风险管理金融领域面临的巨大挑战》，北京：机械工业出版社，2001
4、Jorion．p．，张海鱼译，《VaR：风险价值—金融风险管理新标准》，北京：中信出版社，2000
5、李志辉，《现代信用风险量化度量和管理研究》，中国金融出版社，2001
6、梁北平，《商业银行信用风险度量及管理研究》，河海大学硕士论文，2003
7、卢妲，《信用风险模型及其在我国商业银行的应用研究》，北京航天航空大学，硕士论文，2002
8、Pietro Penza, Vipul K．Bansal，哜相译，《用VaR度量市场风险》，北京：机械工业出版社，2001
9、王春峰，《金融市场风险管理》，天津：天津大学出版社，2000
10、王娟，《国有商业银行信用风险管理》，北京航天航空大学硕士论文，2002
11、王宪，《信用风险计量方法及我国银行应用的研究》，厦门大学硕士论文，2002
12、吴金梅，《商业银行信用风险管理研究》，北京工商大学，硕士论文，2001
13、叶永刚，《金融工程学》，大连：东北财经大学出版社，2002
14、张尧庭，《金融市场的统计分析》，华东师范大学出版社，1998
15、周鑫，《我国商业银行信用风险量化研究》，暨南大学硕士论文，2003
1、A New Framework for Measuring the Credit risk of a portfolio: The "ExVaR" model, Nobuynki Oda and Jun Muranaga, working paper, 1996
2、An Alternative Method for Testing Credit Risk Models, Iain Madachlan, working paper, 2000
3、An analytic approach to rating transitions, Carsten Birmenhei, working paper, 2003
4、Calculating Value-at-risk Contributions in Creditrisk+, Hermann Haaf, working paper, 2002
5、Credit risk in the traditional Banking Book: A VaR approach under Correlated Default, Cristiano Zazzara, working paper, 2000
6、Creditrnetrics—technical document, J.P.Morgan
7、Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements, Mark Carey, working paper, 2000
8、Default Probabilities and Default Correlations, Ulrich Erlenmaier and Hans Garsbach, working paper, 2000
9、Enhancing Creditrisk+, Gotz Giese, working paper, 1997
10、From Creditmetrics to Creditrisk+and Back again, Michael B, Gordy, working paper, 1998
11、Numerically stable computation of creditrisk+, Hermann Haaf, working paper, 2003
http://www.defaultrisk.com
http://www.gloriamundi.org
http://www.google.com
2、Greene，W．H．，王明舰(1998)等译，《经济计量分析》，北京：中国社会科学出版社，1998
3、John B．Caouette等，石晓军、张震霞译，《演进着的信用风险管理金融领域面临的巨大挑战》，北京：机械工业出版社，2001
4、Jorion．p．，张海鱼译，《VaR：风险价值—金融风险管理新标准》，北京：中信出版社，2000
5、李志辉，《现代信用风险量化度量和管理研究》，中国金融出版社，2001
6、梁北平，《商业银行信用风险度量及管理研究》，河海大学硕士论文，2003
7、卢妲，《信用风险模型及其在我国商业银行的应用研究》，北京航天航空大学，硕士论文，2002
8、Pietro Penza, Vipul K．Bansal，哜相译，《用VaR度量市场风险》，北京：机械工业出版社，2001
9、王春峰，《金融市场风险管理》，天津：天津大学出版社，2000
10、王娟，《国有商业银行信用风险管理》，北京航天航空大学硕士论文，2002
11、王宪，《信用风险计量方法及我国银行应用的研究》，厦门大学硕士论文，2002
12、吴金梅，《商业银行信用风险管理研究》，北京工商大学，硕士论文，2001
13、叶永刚，《金融工程学》，大连：东北财经大学出版社，2002
14、张尧庭，《金融市场的统计分析》，华东师范大学出版社，1998
15、周鑫，《我国商业银行信用风险量化研究》，暨南大学硕士论文，2003
1、A New Framework for Measuring the Credit risk of a portfolio: The "ExVaR" model, Nobuynki Oda and Jun Muranaga, working paper, 1996
2、An Alternative Method for Testing Credit Risk Models, Iain Madachlan, working paper, 2000
3、An analytic approach to rating transitions, Carsten Birmenhei, working paper, 2003
4、Calculating Value-at-risk Contributions in Creditrisk+, Hermann Haaf, working paper, 2002
5、Credit risk in the traditional Banking Book: A VaR approach under Correlated Default, Cristiano Zazzara, working paper, 2000
6、Creditrnetrics—technical document, J.P.Morgan
7、Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements, Mark Carey, working paper, 2000
8、Default Probabilities and Default Correlations, Ulrich Erlenmaier and Hans Garsbach, working paper, 2000
9、Enhancing Creditrisk+, Gotz Giese, working paper, 1997
10、From Creditmetrics to Creditrisk+and Back again, Michael B, Gordy, working paper, 1998
11、Numerically stable computation of creditrisk+, Hermann Haaf, working paper, 2003
http://www.defaultrisk.com
http://www.gloriamundi.org
http://www.google.com