新资本约束下商业银行信用风险管理研究

湖南大学硕士学位论文新资本约束下商业银行信用风险管理研究姓名：曾昭才申请学位级别：硕士专业：企业管理指导教师：舒彤20050410IV2004VABSTRACTNowadayseconomyisbasedonthecredit.Commercialbanks,astheroleofprovidersofcredit,faceallkindsofrisksnomatterwhichbusinessweretaken.Capitalconfineisariskmanagementsystemofself-bounding,increasinglybecomethecoreofmodernbankindustry.The2004NewBaselCapitalAccordbyBaselCommitteeistheresultsoftheupdatedtheoryandexperiences.Theinfluencecomesfromthefollowingtwoaspects:Firstly,itmovesawayfromonlyanalyzingtheindividualloanstowardsdevelopingmeasuresofcreditportfoliorisk,whichencouragesthebanktoadjusttheirassetsportfolio;Secondly,itadoptsadvancedmethodstomeasuretheregulatorycapital,whichencouragesthedevelopmentnewandmoresophisticatedmodelstopricecreditriskandinitiatesthereformofcreditriskmanagement.ThispaperstudiesonTheNewBaselCapitalAccord,andcomparestheIRB(Internalratings-basedApproaches)withStandardisedApproach,adoptsthePD(ProbabilityofDefault),LGD(Lossgivendefault),EAD(Exposureatdefault),andM(Maturity)asthefourfactorstomakeawaytomeasurethesensibilityofcapital-to-creditrisk.Thispapercomparesthecapitalandriskcharactersofdifferentkindsofbankloansbetweenthedomesticbanksandforeignbanks,theresultstellusthatthemaindifferencescomefromthefollowing3ratio:capital-sufficiencyratio,thecapital-profitratio,theNPLsratio.ThenittakesacloselookontheJapanesebankcreditriskcrisis,whichisastheresultsofthelackofcapitalconfineandtheexpandingofcreditrisks.Thepaperelaboratesonrisk-capitalmanagementmethodsandtheirapplicationtoChina’screditriskmeasurementandmanagement,suchasthedynamicrisk-managementsystem,theadvancedrisk-managementtools,theperformance-promotingpolicyandrisk-awaredculture.Keywords:CreditRisk;Capital-confine;CommercialBank1______2VI3.1………...………………………………234.1……………………………………………………………274.2………………...………………………………284.3…………………..……………………………….294.42003……………………………………………304.5…..………………………………315.11981-2000…………………………………..365.2……………………………………………………………375.3……………………………………………………375.42001……………………………………………395.5…………...……………………………………39111.1200462070200262095528.4%2WTO1.2207020801988MichaelK.Ong,Michael.K.Ong1988[1]MortonGlantzFredericS.MishkinStanleyG.EakinsCAR[2]VAR[3]CAR[4]CrouhyM.GalaiD.MarkR.[5]SaundersAnthiny8%[6]2004[7~8]AltmanE.I.[9~10]SaikatN3[11~12]AltmanE.I.1968ZZ-scoremodel[13]5[14]1977AltmanE.I.NarayananP.Z[15]57[16~17]MertonR.C.1974[18][19]LongstaffF1995[20~21]StructuralModelReducedFormModelDuffie1997[22~23]JarrowR.[24]901996J.RAnthonySaunders[25]1997J.PCreditMetricsI[26~27]VAR[28]1993KMVCreditMonitor[29][30~31]1997CSFPCreditSuisseFinancialProductsCreditrisk[32~33]DM1997MckinseyWilson.T.C.CreditPortfolioView[34~35]2000MoodysRiskralc41999[36~45]2003[46]1999[47~48]2004[49~50]2004[51]2003[52]1998[53~54]LogitWTO2000[55][56]2000[57]2000[58]2000[59][60~62][63]51.32004234622.12.1.12090VAR7MarktoMarketConceptualframework1999::DefaultModelMark-toMarketModelDMMTM2.1.282.1.3123:9MarketCompletion2.22.2.1IASC10200432.2.2OECD4%-6%6%-9%10%-15%112.32.3.11231242.3.211005%TheBanker2003IMF1997Mishkin19955%1321988342.42.4.1198814200410%20%50%100%2319938%199512199772.4.215VAR2.4.312315%1641733.13.1.119888%4%1988=()12.5×+++=3.1.2OECD618IRBIRB3EAD0%10%20%50%100%150%IRBIRBEADPDLGDM3IRBIRB3.23.2.130.03%11923903.2.21EADExposureatDefault2PDProbabilityofDefault3LGDLossGivenDefault204MMaturityOne-periodDefaultModeMulti-periodDefaultModeRiskHorizon5GGranularityGGranularityG3.2.3Rb21K8%12.5RWAIRB()()MLGDPDF=1×=EAD212()∑××=5.12EADMLGDPDF3=(+)/[+(+)×12.5]IRBIRB3.33.3.18%12.5−−+−=−−50-50PD50-50PD-11124.0-110.12Rλλλλ3.1()[]2PD05898ln.008451.0B−=3.2()()()()()()−−+⋅−+⋅=−−15.05.0PD5b.11PDb5.2M1999.0GR1RPDGR-1NLGDK3.3EAD5.12KRWA⋅⋅=3.422PDLGDRBMKEADRWAN(x)01xG(x)N(x)=zxEXCELNORMSDISTNORMSINV0.03%0.00030.03%0.000345%0.4533.13.40.23820.31690.1711150003.1+−−+−−=−−−−455-S-104.011-124.01112.0R5050PD5050PDλλλλ3.53.5SS550500500.2233.13−−−+−−=−−−−5050PD5050PD1113.01112.0Rλλλλ3.63.1-3.43.63.175%100%150%350%625%BBB-BB+B+BB-B+BC-3.3.20.2%100115.0R=3.724()()()−+⋅=−999.0GR1RPDGR-1NLGDK5.05.03.8EAD5.12KRWA⋅⋅=3.93.7-3.93.1-3.42−−−+−−=−−−−5050PD5050PD11111.01112.0Rλλλλ3.10()()()LGD75GD.0999.0GR1RPDGR1NLGDK5.05.0⋅−−+−⋅=−3.11EAD5.12KRWA⋅⋅=3.123.103.113.875%()62-FMILGD,PD75.0Min⋅⋅⋅FMIб3−−−+−−=−−−−3535PD3535PD11117.01102.0Rλλλλ3.13()()()−+⋅=−999.0GR1RPDGR-1NLGDK5.05.03.1425EAD5.12KRWA⋅⋅=3.153.4KKLGDKRPDRPDKRRRK2644.12004100010-254.1.1254.1254200220034.225136253412003100013764.24.1.2/9.34%2514128%276.9%4.6%4%3.7%10004.54%20023.62%4.1200325%%16687141.82.0825543515.10.6735486327.31.2444405036.52.16JP54316724.91.363778623.70.6673700325.20.8783462333.71.3693424411.90.411032458260.81112934924.11.03122730212.40.34132676126.30.87142507441.22.47152483013.10.6162449918.11.34172408910.90.37182406429.40.6192386327.51.55202303727.80.9321225070.30.01222140825.81.17232139626.60.792420855-14-0.4225206001.50.052004284.210002003200420032002213742943222507251663782920600291546421318579362535960616435101102114834491120229150721203521418