我國(guó)商業(yè)銀行信貸信用風(fēng)險(xiǎn)度量研究.pdf

1、重慶大學(xué)碩士學(xué)位論文我國(guó)商業(yè)銀行信貸信用風(fēng)險(xiǎn)度量研究姓名：劉林申請(qǐng)學(xué)位級(jí)別：碩士專(zhuān)業(yè)：金融學(xué)指導(dǎo)教師：@20060401重慶大學(xué)碩士學(xué)位論文 英文摘要IIABSTRACTCredit risk is the oldest risk and one of the most important risk in financialmarket.It is the primary risk that modern banking are fac

2、ing.Since the 20th century, the1990s, in global environments, every country’ s banks are facing increasing creditrisk.Credit risk measurement issues have becoming the most challenging research fieldof risk subjects in th

3、e next few years. However, credit risk measurement andmanagement in risk management of our commercial banks are still weakpoint.Therefore, this article attempts to have a credit risk study from the aspect ofquantitative

4、analysis.Firstly, this article reviewed the related literature of credit risk research, and thensummarized credit risk measurement and management, emphasizing on introduction ofthe basic factors of the portfolio credit r

5、isk measurement and formed a framework ofportfolio measurement.Secondly, based on the actualities of domestic research on credit risk and theobjective conditions our banking possessed in credit risk measurement and manag

6、ement,the ratio of non- performing loan, which is used to evaluate the quality of commercialbank's loan portfolio, is compared with the probability of default, which is one of coreconceptions in most advanced credit

7、risk measurement models.Then this articleproposed that the prediction of the ratio of non- performing loan can be substituted forthe evaluation of the probability of default.The empirical part of this article is the use

8、oftechnology which internationally accepted measuring portfolio credit risk– Value atRisk(VaR), using Monte Carlo simulation approach to have a analysis and forecastingon the ratio of non- performing loan in our commerci

9、al banking(commercialbanks).Monte Carlo simulation used four random process to simulate trails of changesin ratio of non- performing loan and got the next period VaR value by forecasting, andtheoretically expounded the c

10、riterion of choosing optimum simulation path.Finally, in view of the the status quo in credit risk measurement and managementof our commercial banks,this article presented some reformational ideas from theinstitutional c

11、onstruction and technical means of improving our credit risk measurementand proposed some suggestions to improve the demonstration.Keywords: Commercial Bank,Credit Risk,Ratio of Non- performing Loan,VaR,MonteCarlo Simula