本文认为,随着科技不断进步,农行山东分行的信用风险管理能力逐渐增强,
但由于在组织架构、授权管理、信用风险计量、信用风险管理文化方面比较落后,
信用风险限额管理没有执行到位,进而得出结论,建立山东农行的信用风险限额
管理体系和培育先进信用风险管理文化。
本文主要有如下创新:首先,通过现有农行的风险计量及经济管理模型,对
目前的信用风险限额管理体系丰富完善,对所有信贷经营机构实行客户、行业、
地域的总量信用风险限额管理;其次,结合信用风险经济资本管理的知识,控制
各行、各行业信贷投放行为,达到收益覆盖风险的目的;最后,进一步优化现有
的授信额度计算公式,并考虑客户的实际需求。
关键词:信用风险限额,经济资本;信用风险管理文化;
山东大学硕士学位论文
ABSTRACT
Bank manages the risk. One of the most important tasks for the bank is managing
and assuming the risk. In April 2010 Agricultural Bank of China announced to
implement the new Capital Accord which is adopted by the Board,the main line of
the first comprehensive risk management system planning,which marks that the
Agricultural Bank of China has taken to strengthen the comprehensive risk
management.The program made by the ABC will be a comprehensive risk
management framework,which arrangements for the overall goal of the next three
years, to implement the new Basel Capital protocol as the main line.The
establishment of a comprehensive risk management system meet the needs of
modern commercial banks. Credit risk management, as an important part of a
comprehensive risk management,is a useful tool to address the bank's capital
contradiction between the limited capital and unlimited development of banks, and it
is the core of allocation of resources and improvement of bank's portfolio income.
Credit risk limit management is the most important means of credit risk
management, represents the maximum risk limits that can be tolerated by the bank
in the credit business.lt is a management model based on risk measurement, the
embodiment of bank's business strategy, policy-oriented and capital configuration.
It is the requirement of the external regulatory,even also the development direction
of sophisticated credit risk management, a comprehensive reflection of the bank's
business strategy, policy guidance, as well as the allocation of capital,on behalf of
the direction of credit risk management, professional, meticulous and systematic.
This paper argues that ABC Bank Shandong Branch of the credit risk management
capabilities gradually increased with the technological advancements.The credit risk
limit management is not running in place because authorization management, credit
risk measurement, credit risk management culture is relatively backward in the
organizational structure, then it concluded that ABC Bank Shandong branch should
build the credit risk limit management system and train the advanced credit risk
management culture.
This paper has the following innovations: First of all,the bank should establish
the bank credit risk limit management system through the ABC Bank Risk
Measurement and Management Model, for all customers credit management
institutions, to take gross credit risk limitation management of customers industries
and areas; secondly, the bank should control the credit behavior of every branches
through credit risk economic capital management knowledge, achieving the purpose
of earnings risk coverage; at last, to further optimize the existing credit calculation
formula and consider the actual needs of customers.
keywords: credit risk limitation, Economic capital5credit risk management
culture.
==>>