發(fā)布時(shí)間：2018-02-28 10:01

  本文關(guān)鍵詞： 商業(yè)銀行 價(jià)值評(píng)估 違約率 KMV模型　出處：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：一直以來(lái),銀行業(yè)都是國(guó)民經(jīng)濟(jì)中重要的組成部分,隨著2002年至2011年這十年中國(guó)經(jīng)濟(jì)的高速增長(zhǎng),銀行業(yè)也處于黃金發(fā)展的時(shí)段。但在2012年之后中國(guó)經(jīng)濟(jì)增速下滑,隨之銀行業(yè)也受到影響,表現(xiàn)最為明顯的就是銀行資產(chǎn)質(zhì)量的降低。追其原因,主要是宏觀經(jīng)濟(jì)不景氣,導(dǎo)致企業(yè)盈利困難,銀行為了控制風(fēng)險(xiǎn),貸款增速放緩,同時(shí)由于企業(yè)資金周轉(zhuǎn)困難,進(jìn)一步加劇還貸的難度,從而引起資產(chǎn)質(zhì)量下降。另外,商業(yè)銀行目前仍然面臨著較大的信貸違約的壓力,在去產(chǎn)能的過(guò)程中,一些停產(chǎn)、限產(chǎn)、破產(chǎn)項(xiàng)目或企業(yè)違約的可能性很大。違約率的攀升,會(huì)對(duì)銀行的利潤(rùn)及盈利能力產(chǎn)生很大的影響,會(huì)造成商業(yè)銀行的不穩(wěn)定,進(jìn)而對(duì)商業(yè)銀行的整體價(jià)值造成一定的影響。商業(yè)銀行作為一種特殊的企業(yè),它的價(jià)值不僅會(huì)受到外部環(huán)境因素諸如宏觀政策的影響,更會(huì)受到其自身獨(dú)特個(gè)性和內(nèi)部條件的影響。如今,在商業(yè)銀行面對(duì)各種復(fù)雜多變的外部風(fēng)險(xiǎn)時(shí),銀行內(nèi)部風(fēng)險(xiǎn)監(jiān)控的好壞對(duì)于銀行貸款質(zhì)量的高低起著決定性的作用,降低銀行的違約風(fēng)險(xiǎn),這也直接影響著銀行最終的利潤(rùn)。對(duì)于我國(guó)銀行而言,占比最大的業(yè)務(wù)是存貸款業(yè)務(wù),所以,在我國(guó)若想要提高商業(yè)銀行的價(jià)值,首先必須要注重其存貸款業(yè)務(wù),提高其資產(chǎn)質(zhì)量,降低違約貸款的比例。因此,對(duì)影響商業(yè)銀行價(jià)值的一個(gè)風(fēng)險(xiǎn)因素——違約率,將是本文所要研究的重點(diǎn)內(nèi)容。本文采用理論與實(shí)證研究相互結(jié)合的方法,全文總共分為六個(gè)部分:第一章為引言,介紹了本文的研究背景及意義,對(duì)相關(guān)文獻(xiàn)作了綜述,并簡(jiǎn)單介紹本文的研究思路與內(nèi)容;第二章在對(duì)我國(guó)商業(yè)銀行價(jià)值評(píng)估中的風(fēng)險(xiǎn)進(jìn)行分析的同時(shí)引出對(duì)違約率相關(guān)概念的界定以及闡述測(cè)算銀行違約率的意義;第三章是基于測(cè)算違約率的現(xiàn)代模型——KMV模型所做的實(shí)證分析,在闡述KMV模型相關(guān)原理的同時(shí)對(duì)我國(guó)上市商業(yè)銀行違約率進(jìn)行測(cè)算;第四章是在上一章測(cè)算結(jié)果的基礎(chǔ)上對(duì)樣本銀行分組進(jìn)行違約風(fēng)險(xiǎn)的比較以及驗(yàn)證違約率與商業(yè)銀行價(jià)值之間的關(guān)系;第五章根據(jù)前兩章的實(shí)證分析得出結(jié)論及研究的局限性,同時(shí)對(duì)完善我國(guó)商業(yè)銀行價(jià)值評(píng)估提出一些建議。
[Abstract]:Banking has always been an important part of the national economy. With the rapid growth of China's economy during the decade from 2002 to 2011, the banking industry is also in the golden period of development. But after 2012, the growth rate of the Chinese economy declined. The banking sector has also been affected. The most obvious performance is the decline in the quality of bank assets. The main reasons for this are the macroeconomic depression, which has led to difficulties in making profits for enterprises. In order to control the risks, the growth rate of loans has slowed down. At the same time, due to the difficulty of capital flow in enterprises, the difficulty of repayment of loans is further aggravated, thus causing a decline in the quality of assets. In addition, commercial banks are still facing greater pressure of credit default at present. In the process of deproducing capacity, some of them have stopped production and restricted production. Bankruptcy projects or enterprises are very likely to default. The rising default rate will have a great impact on the profits and profitability of banks, and will cause instability in commercial banks. As a special enterprise, the value of commercial bank is not only affected by external environmental factors such as macro policy. Nowadays, when commercial banks are faced with a variety of complex and changeable external risks, the quality of internal risk monitoring plays a decisive role in the quality of bank loans. Reducing the risk of bank default will also directly affect the bank's ultimate profits. For Chinese banks, the largest proportion of business is deposit and loan business, so in China, if you want to improve the value of commercial banks, First of all, we must pay attention to their deposit and loan business, improve the quality of their assets and reduce the proportion of defaulted loans. The thesis is divided into six parts: the first chapter is the introduction, which introduces the research background and significance of this paper, and summarizes the relevant literature. The second chapter analyzes the risk in the value assessment of commercial banks in our country and introduces the definition of the related concepts of default rate and the significance of calculating the default rate of banks. The third chapter is based on the modern model of calculating default rate-KMV model to do empirical analysis, in the elaboration of the relevant principles of the KMV model at the same time to calculate the default rate of listed commercial banks in China; Chapter 4th is based on the results of the previous chapter to compare the default risk of sample banks and verify the relationship between default rate and the value of commercial banks. Chapter 5th draws conclusions and limitations according to the empirical analysis of the first two chapters. At the same time, some suggestions are put forward to improve the value evaluation of commercial banks in China.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.33;F830.42

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本文編號(hào)：1546826