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MBA毕业论文_于客户信用评级的商业银行信贷管理研究PDF

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商业银行作为现代金融体系的核心,其平稳运行对于保持经济社会的健康稳 定发展有着十分重要的作用。信用贷款是商业银行一项最基本的业务,信贷业务 的经营状况和资产质量直接影响着银行的经营业绩和风险管控。随着金融市场的 逐步全面开放,中国商业银行既面临着巨大的发展机遇,也面临着与外资银行以 及其它金融机构激烈竞争的更大挑战。在新的市场环境下,存贷款利率差缩小和 表外衍生产品的迅速发展使得商业银行的信贷管理日益复杂化。因此,对商业银 行信贷管理进行全面深入的研究将有利于商业银行准确度量信用风险、完善信用 评价体系、优化贷款定价及确定贷款额度,进而也有助于商业银行实现资源的优 化配置,提高经营效率。 本文结合理论分析和实证分析两种方法来研究基于客户信用评级的商业银行 信贷管理。在理论分析部分,本文分别对信贷管理相关概念的界定、商业银行信 贷管理的相关理论、商业银行信贷管理的流程、商业银行的客户信用评级进行简 要讨论。首先阐述信贷及信贷管理的内涵,继而梳理现有商业银行信贷管理的理 论脉络,接着刻画商业银行信贷管理的基本流程,最后探讨商业银行客户信用评 级的概念、作用及方法。 在实证分析部分,本文从商业银行客户信用风险的度量、经济市场化程度对 商业银行客户信用评级的影响、商业银行客户信用评级体系的构建、商业银行贷 款的定价、商业银行贷款额度的确定等5个方面出发,重点分析在客户信用评级 的基础上系统研究商业银行信贷管理问题。首先,基于改进的KMV模型对商业银 行的客户信用风险进行度量。研究发现,相对于传统的KMV模型,改进的KMV 模型的信用风险度量精确度更高,更能准确反映客户的实际信用状况;其次,通 过建立二元Logit模型考察经济市场化程度对商业银行客户信用评级的影响。研究 结果表明,经济的市场化程度对商业银行客户信用评级具有倒U型的非线性影响。 而且在政府与市场的关系、非国有经济的发展、产品市场的发育程度、要素市场 的发育程度、市场中介组织的发育和法律制度环境等5个市场化程度指标中,非 国有经济的发展是经济市场化对客户信用评级造成影响的主要原因;再次,参考 现有信用评级指标体系,引入信用风险大小和经济市场化程度指标,构建新的信 用评级指标体系,并采用AHP方法确定评级指标的权重;然后,基于经典的CAPM 模型构建基于客户信用评级的商业银行贷款定价模型。相对于传统贷款定价模型, 本模型考虑进贷款基准利率、贷款客户信用等级与银行贷款利率之间关系这一因 素,充分体现风险与收益相匹配的原则,有利于商业银行根据特定贷款业务的风 博士学位论文 III 险调整风险溢价,从而确定更为合理的贷款利率以完善信贷管理体系。同时,可 以促使客户不断提升财务水平、偿债能力以提高信用等级,加强与银行全方位的 合作以获得更低的贷款利率。接着,为考察客户的信用等级对商业银行授信额度 的影响,以现有基于客户最大承债能力的商业银行授信额度确定模型为基础,加 入客户信用等级变量,构建基于客户信用评级的商业银行授信额度确定模型。研 究发现,商业银行应给予公司客户的授信额度一般随着客户的最高承债能力的增 加而呈上升趋势。并且,客户的信用等级与商业银行给予的授信额度成正相关关 系,客户的信用等级越高,商业银行融资同业占比控制线也越高,商业银行可授 予的授信额度相应的也会越高。 最后,本文就上述基于信用评级的信贷管理模型在商业银行应用中存在的障 碍进行分析,并结合国外商业银行信贷管理的经验提出加强商业银行信贷管理的 对策建议。 关键词:商业银行;信贷管理;信用风险度量;信用评级;贷款定价;授信 额度 基于客户信用评级的商业银行信贷管理研究 IV Abstract Commercial banks are the core of the modern financial system, and its smooth operation and healthy development plays a very important role in the social economic stability and development. As one of the basic operations of commercial banks, the operating conditions of loan business and the quality of loan assets have an important impact on the banks ' operating performance and risks. With the full liberalization of the financial markets, commercial banks are facing enormous opportunities of development, and also facing greater challenges by fierce competition with other financial institutions like foreign banks. In the new market environment, the decline of the difference between deposit and loan rates and the rapid development of off-balance-sheet derivatives make the commercial banks' loan management increasingly complex. Therefore, it is necessary to study the management of commercial banks' loan comprehensively. It helps commercial banks evaluating the credit risk accurately, and improving the credit evaluation system, optimizing the loan pricing and loan facilities identifying. What's more, it helps banks optimizing the resource allocation and improving banks' business efficiency. Based on customer credit rating, this paper researches commercial banks' loan management by combining theoretical analysis with empirical analysis. With regards to the theoretical analysis, this paper has a brief discussion and analysis on the definition of loan management concepts, commercial banks' loan management theories, commercial banks' loan management process and commercial banks' customer credit ratings. Firstly, the paper expounds the concept of loan and loan management. Secondly, it analyzes the existing commercial banks' loan management theory. Thirdly, this article goes deep into study the commercial banks' loan management process. Finally, it discusses the commercial banks' customer credit ratings’s concept, its effect and the major methods for credit rating. In terms of the empirical analysis, this paper from the evaluation of the credit risk on the commercial banks' customer, the impact of the degree of market economy on the commercial banks' customer credit rating, building of the commercial banks' customer credit rating, commercial banks' loan pricing, and commercial banks' loan facilities identifying to study the commercial banks' loan management issues which based on the 博士学位论文 V customer credit rating systematically. First of all, this article evaluates the credit risk of commercial banks' customer with improved KMV model. The empirical results shows that improved KMV model evaluate the credit risk more accurately when compared with the traditional KMV model. And it can reflect the actual credit condition of customer more exactly. Then, it builds a binary Logit model to examine impact of the degree of market economy on the commercial banks' customer credit rating. It confirms that the degree of market economy has a non-linear effect of inverted U-shaped on commercial banks' customer credit ratings. What’s more, in the five degree of market indicators which include relationship between government and the market, development of non-state-owned economy, degree of the development in product markets, degree of the development in element markets, the development of market intermediaries and the environment of legal institutional, the non-state-owned economy is the major factor that makes economic market has impact on customer credit rating. Again, refering to the existing credit rating index system, introduce the credit risk and the degree of economic indicators to build a new credit rating index system, and uses AHP method to determine the rating index weights. Further more, this paper references the CAPM model and build a loan pricing model of commercial banks based on the customer credit rating. The loan pricing model of commercial banks takes account of the relationship between the benchmark rate of the loaning, the customer credit rating and the loan pricing compared with traditional loan pricing model. It fully reflects the matching principle of rish and return. It enables commercial banks adjust risk premium according to the risk of special loan transaction. And it helps commercial banks to determine more reasonable loaning rates to improve loan management system. What’s more, the loan pricing model prompts customer to enhance its financial level and debt paying ability in order to improve credit rating, so that they can strengthen the cooperation with commercial banks in all aspects to obtain lower interest rate. Following, in order to study the impact of customer credit rating on the credit limit of commercial bank, this article add the customer credit rating to the existing credit limit model based on the maximum debt space of customer, and build a new model to identify the credit limit of commercial bank based on the customer credit