商业银行传统贷款信用风险管理.doc

内容摘要 本文在对我国商业银行传统贷款信用风险管理方法和以KMV、CreditMetrics、CPV为代表的现代贷款信用风险管理模型进行比较的基础上，力图通过建立CreditRisk+模型来弥补它们的缺陷。根据我国的实际情况，用贷款风险度来替代模型中违约概率的方法对CreditRisk+模型进行了改进，并用算例检验了这一改进的可行性，从而得出了CreditRisk+模型对数据的依赖性低、处理能力强、操作比较简单等优势。但是CreditRisk+模型在我国商业银行贷款信用风险管理应用中也存在不少的困难，如银行的组织机构不健全、信用评级系统和企业信息数据库不完善等。文章最后就针对这些问题提出改进信用风险管理机构、大力发展信用评级系统、完善客户数据库系统等对策建议。 关键词商业银行；信用风险；信用风险管理模型；CreditRisk+模型ABSTRACTNowadays, Chinas banking industry is faced with a huge credit risk loans, but commercial banks are still mainly using traditional management methods in risk management, while the international advanced credit risk management model is less used. In this paper, by comparisoning Chinas commercial banks on traditional lending credit risk management methods and the KMV, CreditMetrics, CPV loans represented by the modern credit risk management model, we are trying to establish CreditRisk + model to make up for their shortcomings. According to Chinas actual conditions, we are using credit risk to replace the probability of default to improving CreditRisk+ model , then using an example to test the feasibility of this improvement, so as to arrive at the advantages such as low data-dependent, processing capabilities, and relatively simple operation. But there are a lot of difficulties to use CreditRisk + model in Chinas commercial bank credit risk management, such as banking organizations do not sound, credit rating systems and corporate information databases leaves much to be desired. In the last part of the article, we are giving some countermeasures and suggestions to solve these difficulties,such as improving risk management of credit institutions, developing credit rating system and improving the customer database system.KEY WORDSCommercial Bank；Credit Risk；Credit Risk Management Model；CreditRisk+ Model目 录绪论1研究背景1国内外研究现状1研究内容与框架 2一、我国商业银行贷款信用风险及其管理的必要性3贷款信用风险的概念4贷款信用风险管理的必要性4二、商业银行贷款信用风险管理方法及其缺陷5传统贷款信用风险管理方法及其缺陷5现代贷款信用风险管理方法及其缺陷7三、CreditRisk+模型及其改进分析 8CreditRisk+模概念及其前提假设 8 CreditRisk+模型的构建8CreditRisk+模型的改进与算例检验 9CreditRisk+模型应用的优势分析 12四、CreditRisk+模型在贷款信用风险管理应用中存在的难点 13信用风险管理的组织机构不健全 13信用评级系统还不完善 13企业信息数据库的不完善