VaR在我国商业银行信用风险管理中的应用研究

湖南大学硕士学位论文VaR在我国商业银行信用风险管理中的应用研究姓名：管敏申请学位级别：硕士专业：金融学指导教师：肖曼君20070501I—VaRVaRCreditMetricsJ.P.VaRCreditMetricsCreditMetricsVaRVaRVaRVaRCreditMetricsIIAbstractRiskmanagementhasbeencorecompetitionofcontemporarycommercialbanks.Creditriskisamongthemajorrisksfacingcommercialbanksandthroughouttheiroperation.Commercialbankswithhugecreditriskwillnotonlyendangeritsdailysafeoperation,butalsorenderdestructiveeffectsonthewholepaymentsystemoncebankrupt,precipitatingthefinancialsystemintonationalbankruptcyandfinancialcrisisthroughDominoeffect.Thereforepreciseandeffectiveidentification,measurementandmanagementofcreditriskhavebeenthefocusofattentionofcommercialbanksandfinancialsupervisors.Startingoutwithdefinitionandfeaturesofcreditriskincommercialbanks,thethesisencapsulatesconcept,parameters,estimationmethod,andvirtuesofVaR(Value-at-Risk),atechniquemanagingcreditriskincommercialbanks,fromtheriskmeasurementviewpoint.Basedonthat,comparisonandanalysisofdifferentVaR-basedriskmanagementmodelsaregiven.Relatedtocurrentstateandcauseofrisk,itfindsnecessityinintroducingmoreadvancedriskmeasurementmethodinbanksofourcountry.Analysisshowsthatgovernmentintervention,bankgovernancestructureandpoorinformationonleaderarethemaincauseformingcreditriskindomesticcommercialbanks.PutforwardbyJ.P.Morganbank,CreditMetricsisamodelusedtoassesscreditriskbasedonVaR.ThemajorpartofthisthesishasbeendevotedtomodifyingtheinputparametersofCreditMetricsModelinthelightoffactsfromdomesticcommercialbanks,andempiricalanalysistoourcountry’sapplicabilityusingloandataobtainedfromoneofdomesticcommercialbanks.TheresultsshowthatthemodifiedCreditMetricsModelcanpreciselymeasurecreditriskincommercialbanksofourcountry.Finally,thethesiscontends,establishthecreditriskmanagementobjectivesandpolicy,createthebasicenviromentthatVaRusesandasupervisionframeworkadoptedbysupervisingauthorityserveasthemainaspectsofpreconditionsinVaRpracticalapplication,whichwillprovideanewangletoprecisemeasurementinChinacommercialbankscreditriskmanagement.Keywords:VaR(Value-at-Risk);Commercialbank,Creditrisk;CreditMetricsmodel2.1..............................................................................72.2VaR...................................................................................................112.3CreditMetrics....................................................................152.4.........................................213.1........................................................................................292.1J.P.Morgan................................................................................132.2.....................................................162.3....................................................................162.4BBB...............................................................................172.5................................................................................172.6.....................................................172.70.3.....................................................182.8............................................................................................193.12003---2006...............................................253.2................................................................264.1.....................................334.2............................................................................344.3........................................................................................344.420......................................................................364.5....................................................................................374.6....................................................................374.7................................................................................384.8............................................................................384.920..........................................................384.10VaR....................................................................394.12........................................................................414.13............................................................................424.14....................................................................................434.15........................................................................................441□______2□“√”111.11993G-30[1]199410J.P.RiskMetrics30140VaR19974J.P.VaRCreditMetricsVaRVaR2006121.251.051168“/GDP”“/GDP”72%-3%VaR1.2VaRJ.P.RiskmetricVaRVaR2VaRCreditMetricsVaR1.2.1VaR1994VaRPhilippeJorion1995[2]—VaRVaRVaRChew&Lilian(1996)[3]VaR,Duffie&Pan(1997)[4]Jorion(2000)[5]Marshall&Siegel(1996)[6]Hendricks(1996)[7]19994“”[8]J.P1994VaR1997-CreditMetricsCreditRisk+,KMVEDFKMVCreditMetricsVaRVaR3VaRKMVDDEDFCreditRisk+MichaelB.Croudy(2000)[9]CreditMetricsKMVCreditRisk+1.2.220801997VaRVaR2004[10]19992004[11]2005[12]2004[13]2004[14](2000)[15](2002)[16]VAR2004[17]J.P.MorganVaR4VAR2004[18]VAR1999CAMEL(2001)[19]2004[20]2005[21]VaR1.3VaRVaRVaRVaRCreditMetricsVaRVa