CS银行近几年来在金融信贷领域的快速发展，伴随着上市、上线、上平台的 连战连捷，应及时转变金融观念、创新管理模式、调整客户结构，积极的适应新 时代高质量高发展要求，主动引导政务业务由融资型向服务型转变，驱使政务平 台整体金融体系向政务行业金融体系转型。此外，在地方融资平台持续清理和财 税体制改革压力下，以及部分优质上市企业和中小微企业风险呈阶段性上升的情 况下，CS银行的风险管理体系建设也正面临着巨大的挑战和前所未有的转型机遇。 本文的研究意义主要在于以CS银行为例，以点带面的深入研究和探讨我国商 业银行风险管理体系建设路径，积极帮助商业银行进行信用风险量化改革，并助 其在数字化浪潮下充分发挥优势进行创新与差异化服务，以有效应对互联网金融 服务及其风险对其的冲击，积极找到适应CS银行信用风险防范的措施。 本文以CS银行风险管理为研究对象，通过分析CS银行的现状风险痛点，并 以此为契机探索其在大数据驱动时代下的内评风险体系及时有效的构建，分别从 风险参数量化（评级模型开发）、内部评级验证、风险管理应用、风险压力测试、 风险管理的组织与制度保障等多维度多角度阐述了CS银行在大数据驱动时代下 信用风险管理体系构建的完整有效路径。本文的研究方法是通过将案例研究与定 量研究相结合的方法，综合运用了监管机构认可的多变量逻辑回归模型、AR值分 析等统计方法，构建定量模型和模型后期验证，将原来通过定性判断而导出的风 险转变为能够参数量化的风险呈现，从而帮助CS银行更好的管理、应对整体信用 风险，为CS银行的风险转型之路提供及时有效的建议。 本文的研究对CS银行整体业务战略规划与满足监管指标监控要求都有着重 大意义。一是通过对信用风险模型的开发，量化了商业银行信用风险；二是对授 信客户评级准入的调整，满足商业银行整体战略规划和风险偏好的制定；三是信 用风险策略应用的开发，实现差异化的授信政策服务，增强了商业银行对信用风 险的缓释；四是搭建信用风险管理体系，实现一体化、标准化、专业化信用风险 管理，提高全行管理水平和工作效率。 关键词：商业银行；信用风险；风险管理 II Abstract Bank of CS has developed rapidly in recent years and it has actively adapted to the requirements of high-quality development in the new era after IPO, online-service and platform building. Bank of CS changed its concept, innovation mode and structure. Besides, Bank of CS promoted the transformation of government business from financing type to service type as well as from platform finance to industry finance. At the same time, in the face of pressure of clearing up local financing platform and the reform of financial and tax system, as well as the risk aggregation of some listed enterprises and small, medium and micro enterprises, Bank of CS’s risk management system is also facing unprecedented challenges. The research significance of this paper is mainly to discuss construction of risk management system for commercial banks in China based on the case of Bank of CS, helping commercial banks to quantify credit risk, and to give full play to their advantages to innovate service mode in this digital wave, in order to deal with Internet finance’s impact effectively. This paper takes Bank of CS as an example and analyzes its current situation. Based on this, this paper discusses the effective construction of its internal evaluation risk system, from the perspective of data governance, model construction, risk control strategy application, risk management organization design and system guarantee, this paper expounds the effective path of credit risk management system construction for Bank of CS in the era of big data. In the aspect of research methods, this paper combines case study with quantitative study, uses multiple statistical methods such as logical regression, AR value analysis, KS value analysis, chi square test to build quantitative model and visualize credit risks, so as to help banks better manage and respond to risks and provide suggestions for risk transformation reform. This paper is a study of the overall business strategy planning and comply with monitoring requirements of regulatory indicators of Bank of CS. The research has significance to the following aspects： Firstly, it quantifies the credit risk of commercial Banks by developing the credit risk model；Secondly, it is to meet the overall strategic planning and risk preference of commercial Banks by adjusting the access of credit customer rating; Thirdly, the development of the application of credit risk strategy, the realization of differentiated credit policy services, enhance the commercial Banks to slow the release of credit risk; Fourthly, it realizes the integration, standardization and III specialization of credit risk management, improves the management level and work efficiency of the whole bank. Key words: Commercial Bank;Credit risk;Risk management IV 目 录 第1章 绪论 ................................................................................................................ 1 1.1研究背景与意义 ............................................................................................ 1 1.1.1研究背景 ............................................................................................. 1 1.1.2研究意义 ............................................................................................. 2 1.2相关理论基础 ................................................................................................ 2 1.2.1信息不对称理论 .................................................................................. 3 1.2.2多变量逻辑回归理论 .......................................................................... 3 1.2.3AR值检验验证理论............................................................................. 4 1.3研究综述 ........................................................................................................ 6 1.3.1国外商业银行风险管理相关研究 ....................................................... 6 1.3.2国内商业银行风险管理相关研究 ....................................................... 6 1.4研究内容 ........................................................................................................ 7 1.5研究方法 ...................................................................................................... 10 第2章 国内外商业银行信用风险管理实践 .............................................................11 2.1国外商业银行信用风险管理实践.................................................................11 2.2国内商业银行信用风险管理实践................................................................ 12 第3章 CS银行信用风险管理现状及其差距分析 .................................................. 14 3.1 CS银行经营现状 ......................................................................................... 14 3.2 CS银行信用风险管理现状 ......................................................................... 15 3.2.1信用风险参数量化 ............................................................................ 15 3.2.2内部信用评级验证体系 .................................................................... 15 3.2.3信用风险压力测试 ............................................................................ 16 3.2.4信用风险暴露分类 ............................................................................ 16 3.2.5内部信用评级应用 ............................................................................ 16 3.2.6内部信用评级管理与流程................................................................. 16 3.2.7组织与制度 ........................................................................................ 17 3.3 CS银行信用风险管理差距分析.................................................................. 17 3.3.1信用风险参数量化的差距................................................................. 18 3.3.2内部信用评级验证体系的差距 ......................................................... 18 3.3.3信用风险压力测试的差距................................................................. 19 3.3.4信用风险暴露分类的差距................................................................. 19 3.3.5内部信用评级应用的差距................................................................. 19 V 3.3.6内部信用评级管理与流程的差距 ..................................................... 20 3.3.7组织与制度的差距 .......................................