我国商业银行个人经营性贷款风险管理研究
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摘要
随着市场经济的蓬勃发展和国企改革的深入展开,逐渐形成了有利于私营经济发展的健康环境,我国商业银行的个人经营性贷款的余额不断上升,个人经营性贷款业务呈现了快速发展的势头。与此同时由于个人经营性贷款业务在我国商业银行属于新兴业务,对个人经营性贷款风险的管理还没有现行的模式可以利用,也没有形成完整而独立的体系,而只是作为我国商业银行全面风险管理的一个组成部分。而且由于我国银行业相对落后的管理体系,在我国商业银行个人经营性贷款业务不断发展的现状下,个人经营性贷款风险管理体系已经不能适应当前对于风险进行有效管理的要求,需要对现有的风险管理体系进行有效的改进和完善。
本文从个人经营性贷款风险管理的相关理论出发,用数据分析了我国个人经营性贷款的发展状况,然后分别从个人经营性贷款的三个主要风险信用风险、操作风险、抵押品风险分析了我国商业银行个人经营性贷款风险管理目前存在的问题,以个人经营性贷款风险成因的经济学理论为基础,首先是针对个人经营性贷款中最主要的信用风险的风险管理寻找方法,借鉴了国外商业银行先进的信用风险度量模型,并对KMV模型进行了相关处理,创新地尝试加入了对个人信用风险的考虑,建立了适用于我国个人经营性贷款的KMV模型的基本框架,实证分析了其在我国商业银行个人经营性贷款业务的适应性。然后针对操作风险、抵押品风险分别提出了相关商业银行个人经营性贷款风险管理的对策。
With the vigorous development of the market economy and the deepening of Private Economy reform started gradually in favor of the individual economic development, health, environment, China's commercial banks operating personal loan balances rise, Personal Business lending showed a rapid development of momentum. At the same time due to personal business loan business in China's commercial banks are new business, business loans, personal risk management has no current model can be used, nor to form a complete and independent system, but only as Commercial Bank of China's overall risk management, an integral part. And because China's banking industry is relatively backward management system in China's commercial banks operating personal loan business under the evolving status of individual commercial credit risk management systems can not adapt to current thinking about the requirements of effective management of risks, the need for the existing effective risk management system improvement and perfection.
By analyzing the individual operating characteristics and major risk loans start business loans, personal risk factors in economic theory is based, above all, for personal business loans, credit risk in the most important risk management to find ways to learn from the foreign commercial banks advanced credit risk measurement model, and KMV model was related to treatment, establishment of applicable in our personal business loans, the basic framework of the KMV model. The use of the Bank of China branch in Hunan Province provided a personal business loan data, empirical analysis of its individual business loans, our measure of credit risk adaptability, finally came to the conclusion:The KMV model is related to treatment, the use of In China's commercial banks operating personal loan credit risk management is a certain degree of applicability. Then, for other types of risk related to commercial banks made loans to individual operational risk management solutions.
本文从个人经营性贷款风险管理的相关理论出发,用数据分析了我国个人经营性贷款的发展状况,然后分别从个人经营性贷款的三个主要风险信用风险、操作风险、抵押品风险分析了我国商业银行个人经营性贷款风险管理目前存在的问题,以个人经营性贷款风险成因的经济学理论为基础,首先是针对个人经营性贷款中最主要的信用风险的风险管理寻找方法,借鉴了国外商业银行先进的信用风险度量模型,并对KMV模型进行了相关处理,创新地尝试加入了对个人信用风险的考虑,建立了适用于我国个人经营性贷款的KMV模型的基本框架,实证分析了其在我国商业银行个人经营性贷款业务的适应性。然后针对操作风险、抵押品风险分别提出了相关商业银行个人经营性贷款风险管理的对策。
With the vigorous development of the market economy and the deepening of Private Economy reform started gradually in favor of the individual economic development, health, environment, China's commercial banks operating personal loan balances rise, Personal Business lending showed a rapid development of momentum. At the same time due to personal business loan business in China's commercial banks are new business, business loans, personal risk management has no current model can be used, nor to form a complete and independent system, but only as Commercial Bank of China's overall risk management, an integral part. And because China's banking industry is relatively backward management system in China's commercial banks operating personal loan business under the evolving status of individual commercial credit risk management systems can not adapt to current thinking about the requirements of effective management of risks, the need for the existing effective risk management system improvement and perfection.
By analyzing the individual operating characteristics and major risk loans start business loans, personal risk factors in economic theory is based, above all, for personal business loans, credit risk in the most important risk management to find ways to learn from the foreign commercial banks advanced credit risk measurement model, and KMV model was related to treatment, establishment of applicable in our personal business loans, the basic framework of the KMV model. The use of the Bank of China branch in Hunan Province provided a personal business loan data, empirical analysis of its individual business loans, our measure of credit risk adaptability, finally came to the conclusion:The KMV model is related to treatment, the use of In China's commercial banks operating personal loan credit risk management is a certain degree of applicability. Then, for other types of risk related to commercial banks made loans to individual operational risk management solutions.
引文
[1]Jorge·R·Sobeha、Sean·C·Keenan&Roger·M·Stein, Benchmarking Quantitative Default Risk Models:A Validation Methodology [J]. Journal of Banking and Finance,2000(3)
[2]Kealhofer, Portfolio Management of Default Risk, KMV Corporation, San Francisco (1995).
[3]Gordy A Comparative Anatomy of Credit Risk Model,European Journal of Operational Research.2002
[4]Peter.Crodbie&Jeff. Bohn. ModelingDefault. Risk,2003, http://www.moodd yskmv.com
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[6]Hunter. Liquidity Requirements for Financial Futures Investments [J] Financial Analysts Journal.2003(5). P60
[7]Pagano Macro and Tullio Jappelli. Information Sharing in Credit Markets. TheJournal of Finance.1993(12)
[8]Jappelli Tullio and Pagano Macro. Information sharing, lending and defaults:cross-country evidence. Journal Banking and Finance. 2002(26)
[9]Nicola Jenzsch and Ampao San Jose Riestra. Information Sharing and Its Implication for the Economics of Comsumer Credit:European Experience and Lessons from the U.S. Florence.2003(5)
[10]Tullio Jappelli and Pagano Macro. Information Sharing in Credit Marker:A survey, CSEF, Workong papers.2003
[11]Bikhchandani S and Sharma S, Herd Behavior in Financial Markets, [J] IMF Staff Paper,2001(47):55-57
[12]Robert A Olsen, Implication of Herding Behavior for Earning Estimation, Risk Assessment, and Stock Returns, [J] Financial Analysis Journal,1996(52):37-41
[13]Crouby M, Galai D, Mark R. A comparative analysis of current credit risk models. Journal of Banking and Finance,2000(24)
[14]Fei Yiwen, The Institutional Change of Chinese-Economy After 1979[Dissertation], CHERC-Publication Series, Erasmus University Rotterdam,2004
[15]安东尼·桑德斯,信用风险量化—风险股指的新方法与其他范式[M].机械工业出版社,2001年
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[17]约翰·B·考埃特、爱德华·爱特曼、保罗·纳拉亚南,演进着的信用风险全过程控制[M].机械工业出版社,2002年
[18]奥伯斯菲尔德,罗戈夫著：高级国际金融学教程：国际宏观经济学基础[M].北京：中国金融出版社,2002
[19]戴志峰、张宗益、陈银忠,基于期权定价理论的中国非上市公司信用风险度量研究[J].管理科学,2005(12)72-76
[20]鲁炜、赵恒、刘冀云,KMV模型关系函数推测及其在中国股市的验证[J].运筹与管理2003(3)
[21]张玲、杨贞柿、陈收,KMV模型在上市公司信用风险评价中的应用研究[J].系统工程(11)84-89
[22]庞素琳、刘永清、黎荣舟和徐建闽,基于信息不对称的银行信贷风险决策机制及分析—信贷风险决策模型[J].系统工程理论与实践,2003,04(5)
[23]陈欣,我国商业银行信用风险的成因与对策[J].市场周刊：研究版,2005(7)
[24]杨俊红、唐耀东,论信息不对称与银行信贷风险[J].武汉金融,2004(10)
[25]李翘镊、戴国杰、苏爱军,由信息不对称导致的信贷风险分析与防范[J].2003(4),6--9
[26]陈曦,我国商业银行信贷风险现状、成因与对策分析[J].科技资讯,2008(4)
[27]吴军,张继宝.信用风险量化模型比较分析[J].国际金融研究,2004(8)：51—55
[28]宋请华、李志辉,金融业务风险及其管理[M].北京：社会科学文献出版社,2003
[29]李扬、刘华、余维彬,银行信贷风险管理、理论、技术和实践[M].北京：经济科学出版社,2003
[30]玛格里特·米勒,征信体系和国际经济[M].北京：中国金融出版社,2004
[31]陈建南,以博弈论分析我国银行业存在的“惜贷”现象[J].当代财经,2003(6),52-56
[32]陈溪华、郑小胡,非对称信息下我国银行信贷决策的现实分析[J].南方经济, 2005(11),97-99
[33]段志强,论我国个人信用体系发展的障碍和对策[J].探索与研究,2003(8),42-43
[34]章强,个人经营性贷款风险防范的思考[J].绍兴文理学院学报,2002(4),78-79
[35]崔世明、郜更跃、吴志广,个人生产经营贷款操作风险防范[J].现代金融,2008(12),19-20
[36]赵立琳、刘为明、杜敏,个人生产经营贷款发展策略之思考[J].湖北农村金融研究,2007(2),23-24
[37]章浪潮,小企业个人助业贷款的创新思考[J].中国信用卡,2005(6),49-50
[38]钟鼎礼,发展个人投资经营贷款业务实践与探索[J].商场现代化,2008(8)178-179
[39]杜蓝玲,论个人经营贷款的风险管理[J].科技创业月刊,2008(2),24-25
[40]梁荣、周小利,关于个人助业贷款若干问题的思考[J].现代商业银行,2007(2),48-49
[41]王喜梅、刘伯强(2004)信用风险量化模型比较分析[J].特区经济,2004(12),53-56
[42]易云辉、尹波,CreditMetrics模型计算信用风险的实力分析[J].江西科技师范学院学报,2005(4)
[43]易丹辉、吴建民,上市公司信用风险计量研究—KMV模型及其应用[J].统计与信息论坛,2004,19(6)
[44]王琼、陈金贤,信用风险定价方法与模型研究[J].西安交通大学管理学院2002(10)14-16
[45]张玲、张佳林,信用风险评估方法发展趋势[J].2000(4)
[46]皮天雷,金融生态的法律制度研究：基于新制度经济学的分析[J].金融理论与实践,2006(2),7-10
[47]张欣、李亚琴,信息不对称与防范银行信贷风险[J].财经问题研究,2002(8),38-40
[48]贺晓波、张宇红,我国商业银行风险预警指标体系的构建[J].管理现代化,2002(4)
[49]张新民、王秀丽,企业财务报告分析[M].高等教育出版社,2005(8)
[50]侯艳蕾、刘福印,企业财务报表分析[M].中国金融出版社,中国金融出版社,2004(1)
[51]王振山、高顺芝,商业银行信贷管理[M].大连：东北财经大学出版社,1999
[52]骆玉鼎,信用经济中的金融控制[M].上海上海财经大学出版社,2000
[53]吴慧强,商业银行风险与防范[M].广东：广东经济出版社,2001
[54]聂庆平,中国金融风险防范问题研究[M].北京：中国金融出版社,2000
[2]Kealhofer, Portfolio Management of Default Risk, KMV Corporation, San Francisco (1995).
[3]Gordy A Comparative Anatomy of Credit Risk Model,European Journal of Operational Research.2002
[4]Peter.Crodbie&Jeff. Bohn. ModelingDefault. Risk,2003, http://www.moodd yskmv.com
[5]Francesco. M. Paris. A theoretical analysis of alternative approaches to financialregulation. [j] European Financial Management.2000. (3). P19
[6]Hunter. Liquidity Requirements for Financial Futures Investments [J] Financial Analysts Journal.2003(5). P60
[7]Pagano Macro and Tullio Jappelli. Information Sharing in Credit Markets. TheJournal of Finance.1993(12)
[8]Jappelli Tullio and Pagano Macro. Information sharing, lending and defaults:cross-country evidence. Journal Banking and Finance. 2002(26)
[9]Nicola Jenzsch and Ampao San Jose Riestra. Information Sharing and Its Implication for the Economics of Comsumer Credit:European Experience and Lessons from the U.S. Florence.2003(5)
[10]Tullio Jappelli and Pagano Macro. Information Sharing in Credit Marker:A survey, CSEF, Workong papers.2003
[11]Bikhchandani S and Sharma S, Herd Behavior in Financial Markets, [J] IMF Staff Paper,2001(47):55-57
[12]Robert A Olsen, Implication of Herding Behavior for Earning Estimation, Risk Assessment, and Stock Returns, [J] Financial Analysis Journal,1996(52):37-41
[13]Crouby M, Galai D, Mark R. A comparative analysis of current credit risk models. Journal of Banking and Finance,2000(24)
[14]Fei Yiwen, The Institutional Change of Chinese-Economy After 1979[Dissertation], CHERC-Publication Series, Erasmus University Rotterdam,2004
[15]安东尼·桑德斯,信用风险量化—风险股指的新方法与其他范式[M].机械工业出版社,2001年
[16]乔埃尔·贝西斯著,徐世清译,商业银行风险管理：现代理论与方法[M].海天出版社,2001年
[17]约翰·B·考埃特、爱德华·爱特曼、保罗·纳拉亚南,演进着的信用风险全过程控制[M].机械工业出版社,2002年
[18]奥伯斯菲尔德,罗戈夫著：高级国际金融学教程：国际宏观经济学基础[M].北京：中国金融出版社,2002
[19]戴志峰、张宗益、陈银忠,基于期权定价理论的中国非上市公司信用风险度量研究[J].管理科学,2005(12)72-76
[20]鲁炜、赵恒、刘冀云,KMV模型关系函数推测及其在中国股市的验证[J].运筹与管理2003(3)
[21]张玲、杨贞柿、陈收,KMV模型在上市公司信用风险评价中的应用研究[J].系统工程(11)84-89
[22]庞素琳、刘永清、黎荣舟和徐建闽,基于信息不对称的银行信贷风险决策机制及分析—信贷风险决策模型[J].系统工程理论与实践,2003,04(5)
[23]陈欣,我国商业银行信用风险的成因与对策[J].市场周刊：研究版,2005(7)
[24]杨俊红、唐耀东,论信息不对称与银行信贷风险[J].武汉金融,2004(10)
[25]李翘镊、戴国杰、苏爱军,由信息不对称导致的信贷风险分析与防范[J].2003(4),6--9
[26]陈曦,我国商业银行信贷风险现状、成因与对策分析[J].科技资讯,2008(4)
[27]吴军,张继宝.信用风险量化模型比较分析[J].国际金融研究,2004(8)：51—55
[28]宋请华、李志辉,金融业务风险及其管理[M].北京：社会科学文献出版社,2003
[29]李扬、刘华、余维彬,银行信贷风险管理、理论、技术和实践[M].北京：经济科学出版社,2003
[30]玛格里特·米勒,征信体系和国际经济[M].北京：中国金融出版社,2004
[31]陈建南,以博弈论分析我国银行业存在的“惜贷”现象[J].当代财经,2003(6),52-56
[32]陈溪华、郑小胡,非对称信息下我国银行信贷决策的现实分析[J].南方经济, 2005(11),97-99
[33]段志强,论我国个人信用体系发展的障碍和对策[J].探索与研究,2003(8),42-43
[34]章强,个人经营性贷款风险防范的思考[J].绍兴文理学院学报,2002(4),78-79
[35]崔世明、郜更跃、吴志广,个人生产经营贷款操作风险防范[J].现代金融,2008(12),19-20
[36]赵立琳、刘为明、杜敏,个人生产经营贷款发展策略之思考[J].湖北农村金融研究,2007(2),23-24
[37]章浪潮,小企业个人助业贷款的创新思考[J].中国信用卡,2005(6),49-50
[38]钟鼎礼,发展个人投资经营贷款业务实践与探索[J].商场现代化,2008(8)178-179
[39]杜蓝玲,论个人经营贷款的风险管理[J].科技创业月刊,2008(2),24-25
[40]梁荣、周小利,关于个人助业贷款若干问题的思考[J].现代商业银行,2007(2),48-49
[41]王喜梅、刘伯强(2004)信用风险量化模型比较分析[J].特区经济,2004(12),53-56
[42]易云辉、尹波,CreditMetrics模型计算信用风险的实力分析[J].江西科技师范学院学报,2005(4)
[43]易丹辉、吴建民,上市公司信用风险计量研究—KMV模型及其应用[J].统计与信息论坛,2004,19(6)
[44]王琼、陈金贤,信用风险定价方法与模型研究[J].西安交通大学管理学院2002(10)14-16
[45]张玲、张佳林,信用风险评估方法发展趋势[J].2000(4)
[46]皮天雷,金融生态的法律制度研究：基于新制度经济学的分析[J].金融理论与实践,2006(2),7-10
[47]张欣、李亚琴,信息不对称与防范银行信贷风险[J].财经问题研究,2002(8),38-40
[48]贺晓波、张宇红,我国商业银行风险预警指标体系的构建[J].管理现代化,2002(4)
[49]张新民、王秀丽,企业财务报告分析[M].高等教育出版社,2005(8)
[50]侯艳蕾、刘福印,企业财务报表分析[M].中国金融出版社,中国金融出版社,2004(1)
[51]王振山、高顺芝,商业银行信贷管理[M].大连：东北财经大学出版社,1999
[52]骆玉鼎,信用经济中的金融控制[M].上海上海财经大学出版社,2000
[53]吴慧强,商业银行风险与防范[M].广东：广东经济出版社,2001
[54]聂庆平,中国金融风险防范问题研究[M].北京：中国金融出版社,2000