新巴塞尔协议下中国商业银行信用风险管理研究

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1、瓣1棚⑨天毕大薯中国近代第一，行大学博士学位论文一—■

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3、：11Ill一一级学科：筻堡科堂皇王程学科专业：管理科学与工程作者姓名：崔炳文指导教师：王春幢教授2006年4月ABSTRACTOnthebasisofNewBaselCapitalAgreementbeingputintopractice，theresource，particularity，measurementandmanagementofcreditriskareresearchedontheviewsofmacroan

4、dmicroperspectivesandnewframetoavoidcreditriskofChinesecommercialbanksisraised．Thepaperincludesfiveparts，andasfollows．First，theweaknessesandshortcomingsofoldBaselAgreementareanalyzedandinnovationsofNewBaselAgreementandChallengestoallthebanksofdifferentcountri

5、esareaddressedinthepaper．FromtheactualconditionsofChina。Scommercialbanks，thedifferencebetweenstatusofChinesecommercialbanksriskmanagementandBaselAgreementisdisclosedandthechallengesthatChinesecommercialbankshavetofaceinthenewconditionareproposed．Second，usingo

6、ffinancialeconomicstheory,thecommonreasonsofcommercialbankscreditriskaredetecteddeeplyfromcontracttheoryandasymmetricinformationtheory．Thetheoreticalmodelsshowthatthepre—selectingandpost-incentivebehaviorsallcarleffecttheexpectedreturnfunctionofcommercialbank

7、sbecauseofincompletecontractandatthesametimetheasymmetricalinformationcandirectlylcadtocommercialbanks’creditrisk．Third，onthebasisofcommodityofcommercialbankscreditrisk，thepaperanalyzestheparticularityintheenvironmentoftransactionalandmarketeconomics．Webeliev

8、edthatduringtransactionaleconomicsalotofparticularlycreditriskbecauseofmacroeconomicsiSaccumulatedandthebankcreditriskformationmechanismisdecidedbyshortcomingsofcorporategovernanceandparticularlyrelationshipbetweenbanksandenterprisesonthemicro—perspectiveview

9、s．TheresourcesofparticularityofChinesebankscreditriskoriginsfromthecombinedimpactresultsofmacroandmicroeconomics．Fourth，thepaperindicatesthatinsurmountabledrawbacksoftraditionalmodelsofriskmeasurementandtheapplication，thehypothesisandriskmeasurementprocessofC

10、reditMetricsmodel，KMVmodel，CreditRisk+modelandCPVmodelareanalyzedindetail．TheCreditMetricsisempiricalresearchedutilizingChinesebanksdataandtheresultsaretested．Atlast，theframeofcreditriskm