KMV模型在我国商业银行信用风险管理中的应用研究

摘 要1摘 要随着金融全球化的快速发展及日益变化的金融创新，信用风险变得更加隐蔽、复杂和多变，而原有的信用风险管理方式已经不适用当前形势的需求。如何有效提高信用风险的管理水平已是商业银行亟需解决的问题。近年来国际上研发出了许多现代信用风险度量模型，其中 KMV 模型在使用条件上比较符合我国情况。该模型因其所需主要数据基于上市公司的股票价格和财务数据公开易得，经过研究发现该模型得到金融界专家认可度比较高在我国适宜性较强，未来应用前景可期。选题是基于该模型依据著名的经济大师诺贝尔奖获得者莫顿（Merton）的期权定价模型（OPM）建立的。 KMV 模型也称之违约预测模型，雄厚的理论基础决定可信度高；其次模型采用的数据主要是针对上市公司的股票市场的收盘价和公司年报里的长期负债数据，输入数据简单易得；再者因所需数据公开透明，避免了传统的方法需要大量的财务数据和企业造假所带来的弊端；最后因股票市场变化莫测，基于此市场数据预测出来的 EDF 值不同于传统度量法，是动态的且能预知未来，非常适用于信用风险的度量，可弥补我国商业银行以往测量信用风险的传统方法静止的、落后于时间的缺陷。KMV 模型是近年来广泛应用于发达国家的信用风险度量模型，也是国际金融监管机构巴塞尔委员会重点推荐的现代模型，足见该模型的使用价值和在国际金融界的认可度有多高。我国商业银行的信用风险度量技术由传统型向现代度量模型转变时，实践新巴塞尔协议 II 建议的内部评级法（ IRB）里的 KMV 模型则是最佳的时机。研究 KMV 在我国商业银行的应用意义非凡，是对传统管理方法的挑战也是革命，关系到能否有效提升我国商业银行风险管理水平，以保证经济平稳运行实现中华复兴之梦。本文以国内外学者的研究成果为基础，结合我国经济环境和实际条件，精心研究分析 KMV 模型内涵，并结合12家上市公司在股票市场的相关数据，通过实证以达到探讨违约预测模型的效果在我国现有的体制下有哪些适用性的目的。本论文的研究内容主要分四部分：KMV模型在我国商业银行信用风险管理中的应用研究2一、主要介绍问题提出的背景、目的和意义，精心研读国内外学者对 KMV 模型研究文献，借鉴前人经验，形成自己研究课题的独立思路和方法。指出采用现代度量模型技术不仅对商业银行的信用风险度量效果好而且对提高银行整体风险的控制和管理水平的提高都是有意义的、非常必要也非常紧迫。二、本章重点分析 KMV 模型的原理，尤其对模型的参数反复思考。合理的参数设定是保证模型有效性及适用性的前提，亦是本文重点部分之一。三、这是本文核心内容，在样本和数据选取上花费较多时间，以我国沪深交易所上市的12家公司为样本截取信达证券通达信网上交易系统2013年的最新数据进行计量和类比。本章涉及内容多、数据量大，故采用了计算机编程的运算法、简洁准确，达到实证模型有效性的目的同时分析出可在风险预测、风险评级及贷款定价等方面的应用，同时分析了使用该模型的困难和问题并采取了应对措施。四、根据现代度量技术的使用条件和目前我国商业银行信用风险管理存在的问题就商业银行完善风险管理这一方面提出合理化建议。关键字：KMV 模型；现代信用风险度量模型 ；商业银行信用风险管理 ；巴塞尔委员会ABSTRACT3KMV MODELS APPLICATION RESEARCH IN CREDIT RISK MANAGEMENT OF OUR COMMERCIAL BANKABSTRACTWith the rapid development of finance globalization and innovation, credit risk has become more concealed, complex and multiple, however, the original credit risk had outdated. How to improve the standard of credit management has been the most critical problem to commercial banking. Recently, some developed countries have figured out amount of modern credit risk measure models. Among there, the provision of using KMV model relatively accords with our situation, because the basic data of KMV is based on the stock price of list companies and public finance data is easier to gain. Besides, the model has gain highly recommend of finance experts and it also has a strong flexibility in China, which all contributes to a prospected future.Selecting this topic is based on this model and it is also based on the famous master Economics Mertons model called OPM. KMV model also named the default prediction model. Solid theoretical basis makes it convinced. Secondly, the data of this model mainly aims at closed price in stock market of list companies and long-term debt data in annual reports of the companies. Incoming data are easier to acquire. Furthermore, because data is open and transparent to public, compared with tradition method with a high demand of finance data and enterprises which can be forged, KMV can avoid all these disadvantages. Lastly, stock marking always changes, the data of EDF is measured in this market, different from tradition measure method, which makes it dynamic and can predict future at the KMV模型在我国商业银行信用风险管理中的应用研究4same time. All these benefits are very suitable for credit risk measure and can remedy our tradition one whose fault is steady and out of time.KMV model has been widely used in developed countries for credit risk measure and is also highly recommended by the International Financial Regulators Basel commission for modern use. From this, it is obvious that this model has high value in use and reputation. The credit risk measure technology in our commercial banking has been transformed from the traditional way to modern one. At the same time, carrying out the new Basel agreement II is also an ideal optional choice. It is meaningful for experts in our commercial banking to research application prospect and make a revolution for challenging the conventional management method, which relates to whether enhances our banking commercial method management or not and ensure to have a functioning economy. All of this is aiming to achieving the dream of Chinese Renaissance.This essay is based on research finding of foreign scholars and combines with our reality to analyze the meaning of KMV model. And related data comes from the 12 list companies in stock market. The aim is to grope for what kind of adaptability can apply in default prediction models in China.The content including four chapters, which is:Chapter one: introducing the background ,purpose and meaning of this essay. Studying in related essays of foreign experts in KMV model in order to develop my own ways of thinking and method.Chapter two:analyzing the KMV model method, specially revolving the problem in data. The provision of ensuring the effectiveness and adaptability is to set out ration parameters and it is also the key point of this paper.Chapter three: this part is the core of the essay. Spending amount of time in samples and selecting data. Based on the samples of 12 list companies in the Shanghai and Shenzhen Stock Exchange and intercepted the latest data of Cinda Securities to measure and compare with. This chapter are long with huge data, so it is suitable for it to adopt the operation method for the calculation of the international computer programming, ABSTRACT5which is concise and precise. It can achieve the effectiveness and analyze the risk prediction, risk grade and fixed price at the same time.Chapter four:According to the background of service conditions in modern measure technology and the general trend in economy environment become good, it is the duty to give rational suggestion in completing risk management of commercial banking.KEYWORDS: KMVmodel; modern risk measure model; commercial banking credit risk management;Basel commission目 录1目 录第一章 绪论 .1一、问题的提出 .1（一）选题背景、目的和意义 .1（二）国内外文献的研究状况 .3二、研究方法、思路和主要内容 .4三、论文的创新点及其应用价值 .5第二章 KMV 模型原理及在我国适用性分析 .6一、KMV 模型原理 .6二、KMV 模型的计算 .9三、KMV 模型的优缺点及在我国适用性分析 .11（一）KMV 模型优缺点 .11（二）KMV 模型在我国适用性分析 .11第三章 KMV 模型的实证研究及在风险管理中的应用 .14一、实证研究 .14（一）样本及数据选取 .14（二）实证研究的方法 .15（三）参数的确定 .16（四）实证过程 .16（五）实证结果分析 .21二、我国商业银行推行 KMV 模型的困难和问题 .22（一）资本市场尚处于发展中 .22（二）缺少大型信用数据库 .22（三）实行 IRB 法的高级法难度更大 .22（四）配套的法律法规还不健全 .22三、我国商业银行关于使用 KMV 模型的应对措施 .22（一）完善并制定征信系统法律法规建设 .22（二）建立权威的信息共享的违约数据库 .23（三）完善金融监管体制 .23KMV模型在我国商业银行信用风险管理中的应用研究2（四）积极引进国内外专业机构的先进技术