昆明市Y银行贷款风险评价体系研究——以酒店行业为例
摘要
贷款风险是当前影响我国商业银行信贷经营的安全和高效的主要因素，实行贷款风险管理是我国商业银行最紧迫的任务之一；而贷款的风险评价是商业银行贷款风险管理的关键环节，只有科学地评价风险，才能有效地指导银行授信业务。我国商业银行目前主要的评价体系是对客户的信用评级和采用贷款风险度的量化技术，定性分析仍占主导地位；而国外的评价方法不断推陈出新，分析量化技术日趋完善，研究范围广泛。如何根据自身风险环境和经营特点，建立完善的风险评价体系，补充现有方法的不足，是我国商业银行正在探讨的一个问题。
本文以Y银行在昆明市酒店行业授信业务中面临的贷款风险为实际背景，综合运用层次分析法，德尔菲专家意见法和统计方法，定性分析与定量分析相结合，对贷款风险的评价体系进行了研究。
首先本文剖析了Y银行现有的贷款风险评价方法，并参照国外银行成熟的评价技术，对国内外商业银行贷款风险评价进行了比较研究，指出了国内的一些现行评价方法存在的问题。其次从系统论的观点出发，对Y银行在昆明市酒店行业贷款风险的影响因素进行了分析；并以中国人民银行对商业银行贷款风险分类管理的原则为指导，针对Y银行的客户信用评分体系的缺陷，设计出了酒店行业贷款风险的综合评价体系，建立了综合评价的层次结构模型和评价的指标体系，给出了该体系的评价方法—综合指数法。最后将该方法应用于在Y银行贷款的酒店行业样本的风险评价，并与现行评分方法进行了比较，结果表明本文提出的综合评价体系弥补了Y银行目前的贷款风险评价方法之不足。
Loan risk is a main factor influencing the safety and efficiency of credits management in China's commercial banks. So managing loan risk is one of the most urgent tasks of our commercial banks. Loan risk evaluation is a key link in loan risk management of commercial banks because only by appraising risk scientifically can banks direct business practices effectively. Credit Grading and Loan Risk Degree are the main evaluation systems used in our commercial banks, which is dominated by qualitative analysis. However, the appraising methods of foreign banks for loan risk are weeded through the old to bring forth the new constantly. It is worthy to study how to set up a perfect risk evaluation system according to our risk surrounding and running features, in order to supplying the present method.
Based on the experiences of loaning of Bank Y for Kunming's hotels, a new loan risk evaluation system, which combines the qualitative and quantitative analysis, has been studied and designed in this thesis. Some methods are applied in the research, such as the analytic hierarchy process, Delphic group specialists' advice and statistic method.
Firstly, the loan-risk evaluation methods in Bank Y have been dissected. By consulting in the ripe evaluation technology of foreign banks, comparative studies are done on loan risk evaluation in China's as well as foreign commercial banks. Then the problems that exist in the domestic methods including Bank Y have been analyzed. Secondly, from the System Theory views, the thesis analyses the influential elements for hotel trades' loan risk in Y. According to the principles of the people's bank of China about classification management of loan risk, a comprehensive evaluation system is designed for loan risk of Y hotel trades, which directed against the flaw in Y's consumer credit ratings system. The hierarchical structure model and the appraisal indexes system are established. Composite index method is given as the appraising way for the evaluation system. Finally, this method has been applied to Y hotel trades' loan risk evaluation; the results have been compared with that of Bank Y's credit rating. It is appeared that the comprehensive evaluation system completes the deficiency appraisal methods on loan risk of bank Y.
本文以Y银行在昆明市酒店行业授信业务中面临的贷款风险为实际背景，综合运用层次分析法，德尔菲专家意见法和统计方法，定性分析与定量分析相结合，对贷款风险的评价体系进行了研究。
首先本文剖析了Y银行现有的贷款风险评价方法，并参照国外银行成熟的评价技术，对国内外商业银行贷款风险评价进行了比较研究，指出了国内的一些现行评价方法存在的问题。其次从系统论的观点出发，对Y银行在昆明市酒店行业贷款风险的影响因素进行了分析；并以中国人民银行对商业银行贷款风险分类管理的原则为指导，针对Y银行的客户信用评分体系的缺陷，设计出了酒店行业贷款风险的综合评价体系，建立了综合评价的层次结构模型和评价的指标体系，给出了该体系的评价方法—综合指数法。最后将该方法应用于在Y银行贷款的酒店行业样本的风险评价，并与现行评分方法进行了比较，结果表明本文提出的综合评价体系弥补了Y银行目前的贷款风险评价方法之不足。
Loan risk is a main factor influencing the safety and efficiency of credits management in China's commercial banks. So managing loan risk is one of the most urgent tasks of our commercial banks. Loan risk evaluation is a key link in loan risk management of commercial banks because only by appraising risk scientifically can banks direct business practices effectively. Credit Grading and Loan Risk Degree are the main evaluation systems used in our commercial banks, which is dominated by qualitative analysis. However, the appraising methods of foreign banks for loan risk are weeded through the old to bring forth the new constantly. It is worthy to study how to set up a perfect risk evaluation system according to our risk surrounding and running features, in order to supplying the present method.
Based on the experiences of loaning of Bank Y for Kunming's hotels, a new loan risk evaluation system, which combines the qualitative and quantitative analysis, has been studied and designed in this thesis. Some methods are applied in the research, such as the analytic hierarchy process, Delphic group specialists' advice and statistic method.
Firstly, the loan-risk evaluation methods in Bank Y have been dissected. By consulting in the ripe evaluation technology of foreign banks, comparative studies are done on loan risk evaluation in China's as well as foreign commercial banks. Then the problems that exist in the domestic methods including Bank Y have been analyzed. Secondly, from the System Theory views, the thesis analyses the influential elements for hotel trades' loan risk in Y. According to the principles of the people's bank of China about classification management of loan risk, a comprehensive evaluation system is designed for loan risk of Y hotel trades, which directed against the flaw in Y's consumer credit ratings system. The hierarchical structure model and the appraisal indexes system are established. Composite index method is given as the appraising way for the evaluation system. Finally, this method has been applied to Y hotel trades' loan risk evaluation; the results have been compared with that of Bank Y's credit rating. It is appeared that the comprehensive evaluation system completes the deficiency appraisal methods on loan risk of bank Y.
引文
[1] 赵其宏，商业银行风险管理，经济管理出版社，2001．1
[2] 国际清算银行，巴塞尔银行监管委员会文献汇编，中国金融出版社，1998．7
[3] 蒋海，不对称信息、不完全契约与中国的信用制度建设，《财经研究》，2002．3
[4] 纪荣涛、黄飞舟，对国有商业银行不良资产的思考，《经济师》，2002．2
[5] 詹向阳、张兴胜，巴塞尔新资本协议草案与国有商业银行风险管理，《中国金融》，2001．7
[6] 陈有安，商业银行风险资产计算与内部信用评级，《经济学动态》，2002．1
[7] 彭江平，商业银行风险管理的理论与系统，西南财经大学出版社，2001．9
[8] Altman E.I., Caouette J.B., Narayananm P., " Credit-risK Measurement and Management: The Ironic Challenge in the Next Decade", Financial Analysis Journal, 1998.9
[9] Altman E.I., Saunders A., "Credit Risk Measurement: Developments over the Last 20 years", Journal of Banking and Finance, 1998. (20)
[10] 赵晓菊，银行风险管理——理论与实践，上海财经大学出版社，1999．11
[11] Piraanuthu, S., "Financial Credit-Risk Evaluation with Neural and Neurofuzzy Systems " , European Journal of Operational Research 112,1999
[12] 马九杰，信用风险评价模型进展及其对我国农村信用社适用性研究，《金融与保险》，2001．12
[13] 任兆璋，金融风险防范与控制，社会科学文献出版社，2001．5
[14] 董唯俭等，亚太地区银行同业授信风险管理情况报告，《国际金融》增刊，2002．1
[15] Martin Pontzen, "Management of Non-performing Loans in German Saving Banks", Working Paper, DSE Course, September, 2002
[16] 于立勇等，信用风险评估中贷款风险度的波动性分析，《数量经济技术经济研究》，2002．3
[17] 桑得斯．安东尼[美]，刘宇飞译，信用风险度量——风险估值的新方法与其他范式，机械工业出版社，2001．3
[18] 陈忠阳，金融市场风险管理发展探析，《经济研究参考》，2002年第62期
[19] 张晓松，西方商业银行贷款风险管理及其借鉴，《金融研究》，2000．12
[20] 孙广生、冯宗宪，美国商业银行的风险管理技术，《财经理论与实践》，2001．2
[21] 万泽源，银行信贷经营管理实务，中国金融出版社，2001．1
[22] 汪芹，发展和完善国有商业银行的内部信用评级系统，《财经研究》，2002．3
[23] 李绪国，国有商业银行信贷风险的防范对策分析，《济南金融》，2001．2
[24] 王丰国、潘文卿，关注产业结构调整、加强信贷风险防范，《甘肃金融》，2002．3
[25] 本书编写组，贷款风险分类原理与实务，中国金融出版社，1998．4
[26] 宋惠敏、曹玉贵，现行贷款风险分类中财务分析的局限及对策，《河南财政税务高等专科学校学报》，2002．2
[27] 邹新月，负债企业信贷风险博奕分析，《金融与保险》，2002．7
[28] 迟国泰，信贷风险评价指标权重的聚类分析，《系统工程理论方法应用》，2002．1
[29] 孙宛青，商业银行客户信贷风险预警模型构建，《合肥工业大学学报》，2002．4
[30] 汪应洛，系统工程，机械工业出版社，1999．6
[31] 同[13]
[32] 吴腾华、吕福来，现代金融风险管理，中国经济出版社，1999．9
[2] 国际清算银行，巴塞尔银行监管委员会文献汇编，中国金融出版社，1998．7
[3] 蒋海，不对称信息、不完全契约与中国的信用制度建设，《财经研究》，2002．3
[4] 纪荣涛、黄飞舟，对国有商业银行不良资产的思考，《经济师》，2002．2
[5] 詹向阳、张兴胜，巴塞尔新资本协议草案与国有商业银行风险管理，《中国金融》，2001．7
[6] 陈有安，商业银行风险资产计算与内部信用评级，《经济学动态》，2002．1
[7] 彭江平，商业银行风险管理的理论与系统，西南财经大学出版社，2001．9
[8] Altman E.I., Caouette J.B., Narayananm P., " Credit-risK Measurement and Management: The Ironic Challenge in the Next Decade", Financial Analysis Journal, 1998.9
[9] Altman E.I., Saunders A., "Credit Risk Measurement: Developments over the Last 20 years", Journal of Banking and Finance, 1998. (20)
[10] 赵晓菊，银行风险管理——理论与实践，上海财经大学出版社，1999．11
[11] Piraanuthu, S., "Financial Credit-Risk Evaluation with Neural and Neurofuzzy Systems " , European Journal of Operational Research 112,1999
[12] 马九杰，信用风险评价模型进展及其对我国农村信用社适用性研究，《金融与保险》，2001．12
[13] 任兆璋，金融风险防范与控制，社会科学文献出版社，2001．5
[14] 董唯俭等，亚太地区银行同业授信风险管理情况报告，《国际金融》增刊，2002．1
[15] Martin Pontzen, "Management of Non-performing Loans in German Saving Banks", Working Paper, DSE Course, September, 2002
[16] 于立勇等，信用风险评估中贷款风险度的波动性分析，《数量经济技术经济研究》，2002．3
[17] 桑得斯．安东尼[美]，刘宇飞译，信用风险度量——风险估值的新方法与其他范式，机械工业出版社，2001．3
[18] 陈忠阳，金融市场风险管理发展探析，《经济研究参考》，2002年第62期
[19] 张晓松，西方商业银行贷款风险管理及其借鉴，《金融研究》，2000．12
[20] 孙广生、冯宗宪，美国商业银行的风险管理技术，《财经理论与实践》，2001．2
[21] 万泽源，银行信贷经营管理实务，中国金融出版社，2001．1
[22] 汪芹，发展和完善国有商业银行的内部信用评级系统，《财经研究》，2002．3
[23] 李绪国，国有商业银行信贷风险的防范对策分析，《济南金融》，2001．2
[24] 王丰国、潘文卿，关注产业结构调整、加强信贷风险防范，《甘肃金融》，2002．3
[25] 本书编写组，贷款风险分类原理与实务，中国金融出版社，1998．4
[26] 宋惠敏、曹玉贵，现行贷款风险分类中财务分析的局限及对策，《河南财政税务高等专科学校学报》，2002．2
[27] 邹新月，负债企业信贷风险博奕分析，《金融与保险》，2002．7
[28] 迟国泰，信贷风险评价指标权重的聚类分析，《系统工程理论方法应用》，2002．1
[29] 孙宛青，商业银行客户信贷风险预警模型构建，《合肥工业大学学报》，2002．4
[30] 汪应洛，系统工程，机械工业出版社，1999．6
[31] 同[13]
[32] 吴腾华、吕福来，现代金融风险管理，中国经济出版社，1999．9