A商业银行信用风险管理问题及对策研究 正文

A农村商业银行信用风险管理问题及对策研究

摘要

改革开放以来，伴随着国内经济的高速增长，银行业也实现了跳越式的发展。在当前日益激烈的竞争环境下，中国银行业传统的信用风险管理模式已越来越不能适应金融市场发展和创新的需求，如何科学合理进行风险管理，实现可持续的稳健发展，是中国每家商业银行面临的战略性课题。

巴塞尔资本协议是为了推动国际银行业采用更好的风险管理方法，为银行的内部风险管理提供可供参考的统一框架和标准。本文结合A银行实际，研究分析该银行如何根据巴塞尔资本协议的监管要求，对银行的信用风险管理体系进行再造提出策略性建议，以期达到技术性提升信用风险管理水平目标。论文首先介绍风险管理的相关理论，阐述巴塞尔资本协议的出台和应用背景，并分析巴塞尔资本协议对我国商业银行的影响；其次，重点剖析A银行信用风险管理的现状及问题，提出实施巴塞尔资本协议的对策，并优化设计了风险管理的流程体系。论文同时研究了作为巴塞尔资本协议应用于信用风险管理核心的内部评级法在A银行信用风险管理九大方面的实践应用，并对实施新资本协议所面临的一些普遍棘手的问题给出了前沿性地建议。

关键词：银行；信用风险管理；巴塞尔资本协议；内部评级法

I

Study on A Commercial Bank Credit Risk Management

Abstract

Since the reform and opening-up, Chinese bank industry hasachieved great leaps with the rapid growth of Chinese economy. In theincreasingly fierce competitive market environment, traditional creditrisk management modes are becoming more and more unfit for thedevelopment of financial market and the demands of innovation. How toscientifically and reasonably manage risk in order to achieve sustainabledevelopment has became a strategic issue faced by every commercialbank in China.

The

main

purpose

of

Basel

Capital

Accord

is

to

provide

unifiedframeworkandstandardsforreferenceforbanks'internalrisk management so as to promote international banking to adopt better riskmanagement methods. Base on ZhengjiangA bank, this paper analysishow to reconstruct its risk management system according to supervisionrequirementsofBaselCapitalAccordinordertopromoteitsmanagement.This

paper

introducessome theories related to riskmanagement, describes the production and background of Basel CapitalAccord and analyses its impact on China' s commercial banks; dissectsthe current situation and problems of the A bank's credit riskmanagement; puts forward some strategies

to

carry

out

Basel

CapitalAccordandoptimizestheprocesssystemofriskmanagement.Meanwhile, this paper also discusses 9 main practical applications in Abank of internal rating based approach as the core of Basel CapitalAccord to bank's credit risk management and puts forwards somefrontier suggestions to solve the general difficulties when carrying outnew capital accord.

Keywords:Bank; Credit Risk Management;Basel Capital Accord; Internal Rating Based Approach

II

目录

摘要 ............................................................................................................................................. I Abstract ..................................................................................................................................... II 一、绪论 .................................................................................................................................... 1

（一）研究背景 ................................................................................................................ 1 （二）研究意义 ................................................................................................................ 2 （三）国内外研究现状 .................................................................................................... 3

1、国外研究现状 ...................................................................................................... 3 2、国内研究现状 ...................................................................................................... 5 （四）研究目标及内容 .................................................................................................... 7

1、研究目标 .............................................................................................................. 7 2、研究内容 .............................................................................................................. 7 （五）研究方法 ................................................................................................................ 8 （六）研究方案及创新点 ................................................................................................ 8 二、商业银行信用风险管理的理论基础 .............................................................................. 10

（一）信用风险理论 ...................................................................................................... 10

1、信用风险的涵义 ................................................................................................ 10 2、信用风险的特征 ................................................................................................ 10 3、信用风险与信息不对称理论 ............................................................................ 11 （二）信用风险管理理论 .............................................................................................. 12

1、信用风险管理的涵义 ........................................................................................ 12 2、信用风险管理的内容 ........................................................................................ 13 3、信用风险管理的程序 ........................................................................................ 14

三、A商业银行信用风险管理现状与问题 .......................................................................... 16

（一）A银行信用风险管理体系概况 .......................................................................... 16

1、A银行概况 ........................................................................................................ 16 2、信用风险管理架构 ............................................................................................ 16 3、信用风险管理手段 ............................................................................................ 17 4、信用风险管理流程 ............................................................................................ 18 （二）A银行信用风险管理的行业比较与问题分析 .................................................. 18

1、影响银行贷款不良率水平的因素 .................................................................... 18 2、A银行历史不良率表现 .................................................................................... 19 3、A银行与同业的贷款不良率比较 .................................................................... 20 （三）A银行信用风险管理体系的问题揭示 .............................................................. 20

1、信用风险理念落后 ............................................................................................ 21 2、信用风险管理基础较为薄弱 ............................................................................ 21 3、信用风险评价体系存在明显缺陷 .................................................................... 21 4、信用风险难以准确计量 .................................................................................... 22 5、流程管理割裂化 ................................................................................................ 22

四、巴塞尔资本协议对A银行信用风险管理影响 ............................................................. 23

（一）外部环境的影响 .................................................................................................. 23 （二）内部环境的影响 .................................................................................................. 23 （三）资本补充的影响 .................................................................................................. 24 五、A银行信用风险管理体系优化研究 .............................................................................. 26

（一）A银行信用风险管理优化的总体思路 .............................................................. 26

1、努力构建全面的风险管理架构 ........................................................................ 26 2、传导与企业文化相适应的风险管理文化 ........................................................ 27 3、引进吸收并改良创造先进的风险计量技术 .................................................... 27 4、建设基于风险量化的风险控制流程 ................................................................ 27 （二）A银行信用风险管理架构优化 .......................................................................... 28

1、采取的措施 ........................................................................................................ 28 2、结构层级设置 .................................................................................................... 28 3、条线职责划分 .................................................................................................... 29 （三）A银行信用风险管理文化优化 .......................................................................... 29

1、风险偏好制定 .................................................................................................... 29 2、风险管理政策 .................................................................................................... 31 （四）A银行信用风险控制流程优化 .......................................................................... 32

1、授信审批流程的再梳理 .................................................................................... 33 2、资产定价系统的开发 ........................................................................................ 33 3、预警监控模型的开发 ........................................................................................ 34

4、信用限额测算规则的建立 ................................................................................ 34 5、风险报告机制的推行 ........................................................................................ 35

六、结论与展望 ...................................................................................................................... 37

（一）研究结论 .............................................................................................................. 37 （二）研究展望 .............................................................................................................. 37 参考文献 .................................................................................................................................. 39 致谢 .......................................................................................................................................... 42