信息不对称与商业银行信用风险度量研究

广西师范大学硕士学位论文信息不对称与商业银行信用风险度量研究姓名：孙信明申请学位级别：硕士专业：企业管理指导教师：高劲20070410IcreditriskSTIGLIZWEISSIICredit-MetricCreditRiskKMVKMVKMVKMVXKMVIIIAbstractCreditrisk,marketriskandoperationalriskareknownasthethreemajorrisksofthemodernBanks.Thecomplexityanddestructivenatureofcreditriskisfarmoresignificantthantheothertwo.Itexistsinthesocio-economiclifeeverytimejeopardizingthefinancialstabilityandthedevelopmentofthenationaleconomy.Eachparticipantinthemarketeconomycouldnotescapeit.WiththeaccelerationoftherevolutionarypaceofChina'sfinancialsystemandthedegreeofopeningupofthefinancialindustry,thedomesticbankingisfacedwiththechallengeofparticipationinsevereinternationalcompetition.Underthenewsituationofglobalizationofthefinancialindustry,strengtheningourcreditriskmanagementofcommercialbanksandnarrowingdownthegapswithforeigncounterpartshavebecomethemostsignificantissueforChina'sfinancialindustry.However,nowadaysscholarshavenotreachedanagreementontheconceptofcreditrisk,whichaffectstheresearchonthecreditriskofbanks.Therefore,wefirstanalyzethevariousdefinitionsofcreditriskputforwardbyscholarsandfindthattraditionaldefinitionsonCreditRiskareunabletoexplainthenewfeaturesandchangesinriskinthecontemporaryera.Traditionalcreditriskisfromthecommercialbankloans,whichhavethenatureofpoormobility,lackofanactivesecondarymarketassecurities.Thevalueofloanassetsisnormallycalculatedbythehistoricalcostratherthanthecontemporarymarketvalue.AlthoughcreditriskcanbetranslatedintotwoChineseversions,butweclearlydistinguishthesetwoversions.Andamongalltheconcepts,thispaperisinfavoroftheviewoffocusingonthecity,whichholdsthatthecreditriskincludenotonlytheriskofdefault,butalsotheriskoflosingatthealterationofthecreditor’svalueofassets,causedbythechangeofthecreditor’screditconditionandhisabilityoffulfillmentofthecontract.TheresearchonCreditRiskMeasurementMethodsisahotfinancialtopicathomeandabroad.Creditrisknotonlysharesthegeneralcharacteristicsofafinancialrisk,suchasuncertainty,transmission,proliferation,concealmentandoutburst,butitalsohasitownfeature,suchaspartialprobabilitydistribution,difficultyinknowingtheconditionoftheriskanditschanges,riskofunquantifiableandlessobservationdataincreditrisk,etc.ThemajorityofChineseenterprisesareprivatecompanieswhosedisclosureofinformationisnotsufficient,soinordertoobtainbankloans,theenterpriseswouldbemotivatedtowhitewashtheirownfinancialstatements.Sowearguethatbanksfirsthavetosolvetheinformationasymmetryproblem,becausetheresearchonCreditRiskMeasurementMethodsisvaluableonlyaftertheygettheadequateandreliableinformation.StiglitzandWeisshavestudiedcreditmarketofasymmetryinformationandtheirresearchshowsthatwhenbanksarefacedwiththeasymmetricinformation,theywillusedthecreditrationingtosolveit,whichistherationaleconomicbehavior.Thispaperanalyzescreditrationingintwosituations:thebankasthepricemakersandasthepricerecipient,andwearguethatcreditrationingisnotaneffectivesolutionforasymmetricinformation,andthebehavioritdescribesistoosimple.Therelationshipbetweenbanksandenterprisesisaprocessofmanychessgames.Sowecanestablishareputationmodeltorecordtheenterprises’creditbehaviors,andtheninspiretheenterprisestorevealtheirowncreditinformation.Besides,perfectingtheideaoffinancialsupervisionandsettingupsmallandmediumbankstoloanforsmallandmedium-sizedcompanieswouldalsoeliminatetheproblemsofasymmetryinformation.Thispaperintroducesthedevelopmenthistoryofthecreditriskmeasurementmodel.Thetraditionalmodelincludesexpertmethod,creditrankingmethodandcreditscoringmethod.TheKMVmodeliscombinedriskmanagementmodel,whichappliesthespecificMathematicalstatisticwaytopredictthefunctionoftheprobabilitydenseofthecausingrisksfromthehistoricaldata,andthenbecomesawaytocontrolcreditriskbyscientificpredictionofthepossiblefuturelose.Credit-MetricCreditRisk+KMVmodelsareallthemostIVcommonlyusedassetscombinedriskquantifyingmanagementmodelsandthosemodelsareallrecommendedbythenewassetsprotocol,inwhichKMVmodelisthemostwidelyusedone.KMVmodelisonlyappliedtothepublicenterprises,whichconfinesitsfurtherapplication.WeargueinthispaperthatKMVmodelcanalsobeusedinprivatecompaniestomeasureitsprobabilityofdefaultaftersomepropertreatmentofthedata.Andourmethodistousetheassetvolatilityofthepubliccompaniestostandfortheprivatecompanies’,takingadvantageofDiscountedCashFlowmodeltomeasuretheassetsvalueoftheprivatecompanies.ThispaperprovesthismethodtobeapplicablebytheloandataoftheJiangmenCitybranchoftheIndustrialandCommercialBankofChinaKeywordCommercialBanksCreditriskcreditrationKMVmodel421.60%20%212001(Internationalactivebanks)()/2(GeorgeAkerlof1977)LelandPyle(1977)StiglitzWeiss(1981)(mean-preservingspread)HildegardWette(1983)Gale(1985)Boot,ThakorUdell(1991)(1996)(2001)(2003)Holmstrom(1979)StiglitzWeiss(I981)Williamson(1986)Innes(1987)(1997)(1999)(2001)(2001)3(2001)(2002)(2003)(StiglitzandandWeiss1981)(1986)AnthonySaunders(1987)(Cosci1993)(1996)(1999)(2000)(2001)(2004)80EdwardAltman(1968)Z-ScoreAltmanHaldemanNarayanan(1977)ZVARRAROCjpCreditMetricsKMVKMV19983CreditMetricsKMVCreditRisk+KMV4CreditMetrics