商业银行信贷风险评价与优化研究

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1、华中科技大学博士学位论文商业银行信贷风险评价与优化研究姓名：李菁申请学位级别：博士专业：企业管理指导教师：王宗军20051108华中科技大学博士学位论文信用配给现象。最后提出将银行的整个信贷资产看作一个大的组合，对其进行优化，能够有效的管理银行面临的信用风险。并根据我国商业银行的具体情况采用意外损失最小为目标函数，同时运用免疫算法对原有模型进行改造，建立了新的基于免疫算法的优化模型。并将之在某国有商业银行进行实践，结果显示通过优化组合后的信贷资产比例对该行存在的上述几个问题有明显改善。关键词：信用风险;内部评级;逆向弥补法;复合标示法;模糊评价;贷款定价博弈;资产

2、组合优化;免疫算法II华中科技大学博士学位论文AbstractFinancialrisksfacedbyChinesecommercialbanksaremainlycreditassetsriskswithunderlyingassetsofcreditloans.Commercialbanksaresospecialenterprisesthatriskscanspreadtotheanycornerofthewholeworldthroughbankindustriesandtheirsettlementsystems.Asmentionedabove,th

3、ispaperchoosesfinancialrisksfacedbycommercialbanksasthekeyissue.First,westudyriskconductmechanism.Inthispaper,fivesriskconductmechanismshavebeendiscussed,followedbyempiricalanalysisofAsianfinancialcrisis.Currently,developedcountriesadoptinternalratingsystemasaneffectivemanagementmetho

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5、yfussyclusteringmethod.Moreover,itproposesanoveladverse-offsetmethodologythatisaneffectivewayusedtoevaluatethenon-quantityindex.Comparedtothetraditionalmethodithassixadvantages.AndinordertosolvetheproblemthatAAAratingsystemcannotshowthedifferencesbetweentheloansinthesamerating,thispap

6、erinnovativelyadoptthecomplex-labelmethod.AccordingtothenewBaselAccord,anintegratedinternalbankratingsystemalsoincludesthecalculationofprobabilityofdefault(PG),LossatGivenDefaultrate(LGD)andExposureatDefault(EAD).Thispapertheoreticallyanalyzesthreemethodstocalculatetheprobabilityofdef

7、aultwiththeclassificationoftwocategoriesofinformation.Herewediscussontwomodelsunderthetwodifferentratingphilosophies,followedbyanalysisoftheirchangeswiththeeconomysituation.However,intheasymmetricinformationmarket,borrowershavingmoreprivateinformationthanlenders,iteasilyleadstoadverse

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