商业银行信用风险度量模型在我国的适用性研究

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摘     要
       信用风险是金融市场上最古老的风险之一，也是导致商业银行破产的最常见的原因。所以，信用风险管理是整个商业银行经营过程中的关键环节之一。当前，面对金融市场环境的不断变化以及加入WTO后所面临的国外银行业的竞争，而我国虽然也是有不少的理论的发展和实际的应用，但是目前国内信用评级体系还很不成熟，如何尽快提高信用风险管理水平已成为我国商业银行面临的最紧迫的问题，通过分析和比较国外成熟的信用风险度量模型，并结合我国商业银行的实际情况，建立适合我国国情的信用风险度量模型。

关键词：商业银行     信用风险     信用风险度量模型 

Abstract
       Credit risks is that financial market mounts one of the most antiquated risk , is also the most common cause leading to a commercial bank go bankrupt. That reason why, credit risks are managed is an entire commercial bank manage one of key link in process. Present , ceaselessness facing the financial market environment change and join abroad banking competition been confronted with by the WTO queen, credit rating system is at present in the homeland fairly extremely not mature but although our country being also to development of theory and actual application having quite a few, how as soon as possible to improve credit risks control level already becoming the most urgent problem facing our country commercial bank , the main body of a book is passed analyzing the parallel mature sum abroad credit risks magnanimity model , is tied in wedlock and our country commercial bank reality, be that the credit risks magnanimity model founding our national condition suitable carries out preliminary research.
Keywords： Commercial bank    Credit risks     credit risks magnanimity model 

目　录
摘   要 ...........................................................I
Abstract ..........................................................II
1 绪  论 ..........................................................1
1.1   研究背景.....................................................1
1.2  研究的目的、意义 .............................................1
1.2.1  研究的目的 .................................................1
1.2.2  研究的意义................................................. 2
1.3   国内外研究现状...............................................2
1.3.1  国外研究现状 ...............................................2
1.3.2  国内研究现状............................................... 3
1.4   研究方法与内容...............................................3
2  理论基础 .......................................................5
1.1 商业银行信用风险的概念和特点.................................. 5
1.1.1 商业银行信用风险的概念 ......................................5
1.1.2 商业银行信用风险的特点.......................................5
2.2  现代商业银行信用风险度量方法 .................................6
2.2.1  传统风险度量方法 ...........................................6
2.2.2  现代风险度量方法 ...........................................7
2.2.3  新风险度量方法 .............................................7
3  现代商业银行信用风险研究 .......................................8
3.1  我国商业银行信用风险现状 .....................................8
3.2  商业银行信用风险产生原因 .....................................8
3.3  现代商业银行信用风险的影响因素 ...............................9
4  现代商业银行信用风险度量模型研究 ...............................10
4.1  KMV模型 ......................................................10
4.1.1  KMV简介 ....................................................10
4.1.2  评价 .......................................................10
4.1.3  KMV模型在我国的适用性 ......................................11
4.2  Credit Metrics模型 ...........................................11
4.2.1  模型的简介 .................................................11
4.2.2  Credit Metrics 框架模型的评价 ..............................12
4.2.3  Credit Metrics 框架模型在我国的适用性 ......................12
4.3  Credit Risk+模型 .............................................13
4.3.1  模型的简述................................................. 13
4.3.2  模型的评价................................................. 13
4.3.3  Credit Risk+模型在我国的适用性分析......................... 13
4.4  Credit Portfolio View 模型 ...................................14
4.4.1  模型的简述................................................. 14
4.4.2  模型的评价 .................................................14
4.4.3  Credit Portfolio View 模型在我国的适用性分析 ...............15
4.5  几种信用风险度量模型的对比分析 ...............................15
5  我国商业银行信用风险度量研究................................... 17
5.1  我国商业银行信用风险度量研究................................. 17
5.1.1  我国商业银行信用风险主要的度量方法..........................17
5.1.2  我国商业银行信用风险度量方法应用现状 .......................18
5.2  KMV模型在我国的适用性研究.................................... 18
5.2.1  模型分析 ...................................................18
5.2.2  实证检验 ...................................................19
结    论.......................................................... 24
参考文献 ..........................................................26
致    谢.......................................................... 28
附    录1 .........................................................32
附    录2 .........................................................38

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