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1、南京航空航天大学博士学位论文 I 摘 要 对于商业银行而言，信用风险管理至关重要。随着金融市场的逐步开放，银行业竞争的日趋加剧，我国商业银行迫切需要加强信用风险管理。本文围绕提升商业银行核心竞争力和开拓国际市场的实际需要，针对我国商业银行信用风险管理中的关键问题，如信用风险度量技术和管理方式等进行了系统的研究，主要内容如下： 分析了几种常用信用评分方法的优缺点及适应性，为有效防范企业违约，针对我国金融数据少的特点，提出了一种基于灰色关联度的信用评分方法，并给出算例分析。 考虑到宏观经济环境对违约强度的影响，提出一种基于分段违约强度的信用风险度量模型；系统地分析比较了五种常用的现代信用风险度量模
2、型，并探讨了其在我国的适应性问题及相应对策。 在深入分析现有风险度量方法和风险本质差异的基础上，提出一种新的风险度量方法价值熵，给出了证券投资组合优化模型，并利用上海股市有关数据进行实证研究，结果表明该方法能够很好的处理“厚尾” 现象。 研究了几种常用信用衍生产品的结构形式以及信用衍生产品市场的相关问题，提出了建立我国信用衍生产品市场的有关建议；基于信用风险和市场风险密切相关，提出了基于 C O X 过程的信用违约互换定价模型。 从银行内部激励机制的设计和对经理人员的长期激励两个方面讨论如何加强商业银行信用风险管理。提出了完善商业银行内部信用风险管理激励机制的建议；设计了一种欧式信用激励期权，
3、该期权克服了股票期权“上不封顶”的诱导缺陷，并探讨了其实际应用。 结合巴塞尔资本协议的发展历程，对银行监管思想的演进过程进行梳理；重点分析了 2 0 0 1 年新巴塞尔资本协议， 指出其创新和不足； 从金融监管的角度，就我国金融监管机构如何借鉴新巴塞尔资本协议，对商业银行实施有效的信用风险监管提出了对策建议。 关键词：商业银行，信用风险，度量，管理，激励，监管 商业银行信用风险度量模型与管理研究 II ABSTRACT For the commercial banks, it is vital to manage credit risk well. Along with the money m
4、arket gradually opening, the competition among banks is fiercer and fiercer, the Chinese commercial banks urgent need raise the credit risk management level. For advancing the core competition complicity and exploiting international market, this article quite systematic research credit risk measurem
5、ent technology and management way, the main conclusion as following: Analyzing several commonly used credit grading methods good and bad points and their compatibility. Facing to the characteristic with finance data lack in our country, using the grey systems theory, we propose one kind of credit gr
6、ading method based on the degree of grey incidence in view of keeping away corporations default, and gives the example analysis. Considered the macroeconomic environment s influence to the default, proposed one kind credit risk measurement model based on the sectioned default intensity; compared sys
7、tematically five kind of commonly used modern credit risk measurement model, and discusses it in our countrys compatible question and the corresponding countermeasures. Based on analyzing the existing risk measure methods and the difference of risk essence, proposed one new risk measure method value
8、- entropy, and has given the optimization model of securities investment portfolio. And conducts the empirical research using the Shanghai stock market related data, the result shows the model can deal with distributing of “ the thick tail” . Introduced several kinds of commonly used credit derivati
9、ves systematically, discussed the related questions about the credit derivatives market, and proposed several advices about how to establish the credit derivatives market in our country. Considering that credit risk and market risk is well correlated, gave the pricing model of credit default swap ba
10、sed on the COX process. From two aspects, the design of bank interior incentive mechanism and the long- term incentive to the manager, discuss how to strengthen the commercial bank s credit risk management; several advices are given about completing the commercial bank s credit risk management; the
11、European credit incentive option is designed, and 南京航空航天大学博士学位论文 III has overcome the inducement of “ no top” , then its applied research is given. Introducing the development of the Basle Capital Accord, the evolutive process of supervision idea is summarized; the Basle Capital Accord in 2001 is ex
12、patiated, and its merit and defect are analyzed. From the financial supervision angle, several advices are given about how Chinese supervision institution profits from the new Basle Capital Accord, and implements effective credit risk supervision to the commercial banks. Key Words: Commercial Bank,
13、Credit Risk, Measurement, Management, Incentive, Supervision 承诺书 本人郑重声明：所呈交的学位论文，是本人在导师指导下，独立进行研究工作所取得的成果。尽我所知，除文中已经注明引用的内容外，本学位论文的研究成果不包含任何他人享有著作权的内容。对本论文所涉及的研究工作做出贡献的其他个人和集体，均已在文中以明确方式标明。 本人授权南京航空航天大学可以有权保留送交论文的复印件，允许论文被查阅和借阅, 可以将学位论文的全部或部分内容编入有关数据库进行检索，可以采用影印、缩印或其他复制手段保存论文。 ( 保密的学位论文在解密后适用本承诺书) 作者签名： 日 期： 商业银行信用风险度量模型与管理研究 VIII 图、表清单 图 1 . 1 .14 图 3 . 1 .28 图 3 . 2 .28 图 3 . 3 . 48 图 4 . 1 .52 图 4 . 2 .53 图 4 . 3 .54 图 4 . 4 .54 表 1 . 1 .3 表 1 . 2 .3 表 2 . 1 . 20 表 3 . 1 .41 表 3 . 2 . .49 表 4 . 1 .51 表
