谈以信用资产组合的信用风险度量改善我国商业银行的信用风险管理

信用风险的管理是商业银行面对的古老话题。但是随着金融创新和经济体制的变革,信用风险的内涵和外延都在扩融。商业银行的最重要的只能就是风险管理,而信用风险管理又是商业银行风险管理的重中之重。本文首先介绍我国商业银行信用风险管理的现状,之后从企业和银行两个角度介绍信用风险产生的原因。其次本文讲述商业银行如何用信用资产组合的信用风险度量来管理信用风险。最后文章从多方面讨论我国商业银行使用该方法所需要的条件,从而为我国金融和经济体制改革提出建议。     

商业银行现代信用风险度量研究

<正>一、商业银行现代信用风险度量方法近二十年来,由于商业银行贷款利润持续下降和表外业务风险不断加大,促使银行采用更经济的方法度量和控制信用风险,而现代金融理论的发展和新的信用工具的创新,给开发新的信用风险计量模型提供了可能。现代信用风险度量模型主要有CreditMetrics与Credit Portfolio View模型、KMV模型和CreditRisk+模型。     

商业银行信用风险实证分析

金融业是一个高风险的行业,有效的管理风险是金融机构得以生存和健康发展的根本保障.商业银行的信用风险是银行风险重要组成部分.从信用贷款与企业的财务比率之间的关系来度量银行的信用风险.采用实证分析方法来确定银行信用贷款的度量因素,为商业银行的信用风险管理提供依据.     

信用风险管理新发展对我国商业银行的借鉴

本文通过对信用风险概念的新发展、信用风险管理特征的变化，现代信用风险量化度量模型，以及新巴塞尔资本协议有关信用风险管理内容的论述，在力图展示现代科学的信用风险管理方法的同时，指出了我国商业银行在信用风险管理方面存在的不足和今后努力的方向。     

基于Delta-EVT的商业银行信用风险超额损失的VaR度量

采用Delta-EVT模型,针对商业银行信用风险超额损失,从整体(或部门)的角度进行度量;并对模型进行了实证分析,取得良好的效果,从而为商业银行的信用风险管理提供了具有一定科学价值的决策参考变量。     

商业银行信用风险主要影响因素来自内部还是外部？——基于KMV及随机森林模型的实证研究

近年来,商业银行外部环境发生较大变化,个别中小银行因信用风险暴露而濒临倒闭。为分析内外部因素对商业银行信用风险影响,文章运用KMV模型,计算我国36家上市银行2016-2019年违约距离,并作为信用风险度量依据。在此基础上,运用随机森林模型,以违约距离作为被解释变量,以外部环境、业务结构、经营管理3个维度的因子作为解释变量,对商业银行信用风险影响因素进行实证检验。结果表明,金融监管政策等外部环境是影响商业银行信用风险的因素,但并不是主要因素,银行内部的收入结构、存贷款结构、资金运作、风险管理等业务结构、经营管理因素对商业银行信用风险影响更大。商业银行应优化收入结构和存贷款结构,提高资金运作效率,加强风险前瞻性管控,切实提升信用风险管理水平。     

商业银行信用风险管理方法研究

本文通过分析目前国内商业银行在信用风险管理措施方面的误区和不足,给出了在信用风险全面识别基础上进行信用风险管理的基本框架,并对当今主流的信用风险模型进行了系统性的介绍,旨在为我国商业银行提高信用风险管理水平提供借鉴和研究思路。     

我国制造业上市公司信用风险度量:基于KMV模型

目前对上市公司信用风险度量模型进行研究,及依据行业特征构造行业信用风险度量模型,对于商业银行信用风险管理显得尤为重要。本文基于现代信用风险度量模型——KMV模型,通过对违约点、股权价值波动性率、违约距离计算方式进行修正,构建了制造业行业KMV模型。研究结果表明,当违约点选取长期债务和短期债务之和时,制造业KMV模型可以提前两年将信用好与不好的上市公司甄别开,具有较强的适用性,符合我国目前信用风险管理水平的需要。同时,运用制造业KMV模型还可以判断上市公司是否具有"壳"资源的价值。     

基于KMV模型的房地产业上市公司信用风险度量

房地产行业是国民经济的支柱行业,资金需求量大,信用风险暴露规模较大,对商业银行的信贷资产质量也会产生重大影响,因此如何对房地产企业的信用风险进行度量是信用风险管理领域的亟待解决的问题之一。本文结合我国房地产上市公司的实际情况,研究KMV模型在中国市场中评价房地产上市公司信用风险的能力,采用违约距离度量我国房地产业上市公司信用风险的现状。结果表明,参数调整后的KMV模型能够在整体上识别我国房地产上市公司信用风险。     

物流金融贷款信用风险测度与控制

为防范物流金融贷款业务的信用风险,本文借助传统贷款业务信用风险度量方法,建立了物流金融贷款业务中的信用风险测算体系和具体的评价指标体系,并在此基础上进行了实证分析,结果表明,这一体系能较好地度量物流金融贷款业务中的信用风险。     

Off-balance sheet activities and bank default-risk premia: A comparison of risk measures

This paper examines the market discipline of off-balance sheet activities on the default-risk premia of subordinated bank debt. The standard approach for determining whether market prices of subordinated debt reflect the risk of default is to regress the yield spread against accounting measures of bank risk. This approach may be inadequate because yield spreads are neither linear nor monotonic functions of bank risk. Moreover, the standard approach fails to consider that banks are regulated. This paper compares this approach and one where risk is measured with a contingent claims pricing model. Observed yields on subordinated bank debt over equivalent maturity treasuries are used to compute implied asset variances. OBS banking activities appear to reduce both linear risk-premia and implied asset variances. These results suggest that bank regulators may be overly concerned with the risk exposure of off-balance sheet banking activities.     

Systemic financial risk indicators and securitised assets: an agent-based framework

The paper presents an agent-based model of a credit economy which includes a securitisation process and a bailout mechanism for bank bankruptcies. Within this framework, banks are able to sell mortgages to a financial vehicle corporation, which finances its activity by creating mortgage-backed securities and selling them to a mutual fund. In turn, the mutual fund collects liquidity by selling shares to households and remunerates them with a monthly interest. The impact of this mechanism is analysed by means of computational experiments for different levels of banks’ securitisation propensity. Furthermore, we study a set of systemic risk indicators which have the aim of assessing the imbalances in the financial system. Two of them are the mortgage-to-GDP ratio and the capital adequacy ratio, which are constructed to detect only the on-balance sheet changes in banks’ credit exposure. We consider two additional indicators, similar to the previous ones with the only difference that they are also able to account for the off-balance sheet items. Moreover, we adopt an indicator, the so-called “virtuous–unvirtuous cycle” indicator, which, besides off-balance assets, targets also the GDP. The results show that higher securitisation propensity weakens the financial stability of banks with relevant effects on different sectors of the economy. Most importantly, the analysis of systemic risk reveals the important issue of designing suitable systemic risk indicators for predicting incoming financial crises, finding that an essential feature of these indicators should be to integrate banks’ off-balance sheet assets.

     

Bank herding and systemic risk

Bank herding behavior is often hypothesized to increase systemic risk, but the actual effect is unclear ex-ante from the theory and unknown ex-post from the data. We expand the literature on this topic in several dimensions – posing alternative hypotheses regarding the effects of herding in asset, liability, and off-balance sheet portfolios; developing a novel set of bank-specific, time-varying measures of herding in these portfolios; and empirically testing the relations between bank herding for all three portfolios and bank systemic risk contributions. We find nuanced empirical results that differ by portfolio, bank size class, and periods before versus after TARP.     

浅谈我国商业银行信贷风险及其管理

在当前的国际金融形式之下,我国商业银行信贷风险尤为突出。因而加强商业银行的风险管理成为金融机构管理的重中之重。本文着重分析了我国当下商业银行信贷风险管理存在的问题,并针对这些问题相应地提出了一些加强我国商业银行信贷风险的管理措施。     

Audit Quality and Banks' Assessment of Disclosed Accounting Information

The objective of this paper is to investigate whether banks view the information on the off-balance sheet liabilities (specifically, operating leases) disclosed in the notes to the financial statements as more reliable when it is audited by brand name auditors (i.e. a Big 4 audit firm). To the extent that banks assess a higher likelihood that the financial statements could have material misstatements if it is not audited by a Big 4 audit firm, they should charge a higher interest rate on private loans. Our findings suggest that the impact of operating leases on the interest rate is higher if the firm is audited by non-Big 4 audit firms.     

Liquidity creation and bank profitability

This paper examines the effect of liquidity creation on bank profitability. Using a panel of US banks, we find that liquidity creation is associated with higher profitability. This result holds during normal times and the financial crisis, and for banks of different sizes. When we decompose liquidity creation into its individual components, we find that liability-side and off-balance sheet liquidity creation are positively related to profitability, while asset-side liquidity creation is negatively related to profitability.     

Regulation Avoidance in the Banking Industry: The Case of 364 Day Lines of Credit

The purpose of this case is to offer a demonstration of Kane's regulatory dialectic and to discuss a line of credit that is a result of the interaction between the regulators and the regulated. Banks have been affected by new capital requirements. Calculation of these requirements considers not only on-balance sheet activities but off-balance sheet activities. Prior to these requirements, banks issued one year lines of credit for 365 days. These lines of credit have since been replaced with 364 day lines of credit. With maturity less than one year, the percentage of lines of credit considered in the calculations for required capital is reduced from 50% to 20%. Lines of credit are well established financial instruments and there is no reason, other than the changes in regulations, to make banks change the maturity dates by one day.     

浅谈供电公司加强客户信用管理的重要性

随着电力市场化运作,供电公司客户的信用管理已成为企业管理的新课题。本文通过分析供电公司客户信用风险产生的原因及现状,剖析了加强客户信用管理对供电公司提高电费回收力度的重要性。为了有效的提高电费的回收力度,供电公司必须采取科学的客户信用管理机制,以规避资金风险。     

严监管背景下农信社合规风险管理体系建设

2018年,银行业监管环境进一步趋严,不但强调对银行的监管,更提出了对监管人员职责的监管,这种严格的外部监管环境对农信社的合规风险管理带来了极大的挑战。农信社合规风险管理体系的建设和完善已势不容缓。论文提出了农信社合规风险管理体系建设要从战略定位、文化渗透、防线搭建、专业专职化、考核和追究六个维度入手,推进合规风险管理长效机制的建设。