政策性银行信贷风险评价研究

管理学硕士学位论文

政策性银行信贷风险评价研究

STUDY ON THE CREDIT-RISK EVALUATION IN

POLICY BANK

孙文斌

哈尔滨工业大学

2008年7月

图书分类号：F832.45

U.D.C.: 336.717

管理学硕士学位论文

政策性银行信贷风险评价研究

硕士研究生：孙文斌

导师：西宝教授

申请学位：管理学硕士

学科、专业：管理科学与工程

所在单位：管理学院

答辩日期：2008年7月

授予学位单位：哈尔滨工业大学

Classified Index：F832.45

U.D.C.: 336.717

Dissertation for the Degree of Master in Management

STUDY ON THE CREDIT-RISK EVALUATION IN

POLICY BANK

Candidate:

Supervisor:

Academic Degree Applied for:

Specialty:

Affiliation:

Date of Defence:

Sun WenbinProf. Xi Bao Master of Management Management Science and Engineering School of Management July, 2008 Degree-Conferring-Institution:Harbin Institute of Technology

哈尔滨工业大学管理学硕士学位论文

摘要

随着我国政策性金融业务的迅速发展，贷款的信用风险日益明显。我国政策性银行的不良贷款比率一直保持着较高的水平，而且随着经营业务的继续发展，未来风险呈现上升趋势。我国的政策性银行的信贷风险评价还停留在主观判断和传统的财务比率评分方法的阶段。政策性银行的信贷业务有其自身的特点，但一直以来我国政策性银行缺乏一套科学的信贷风险评价体系。由于无法客观的评价申请贷款企业的信用风险，政策性银行的信贷资产质量一直无法得到提高。

基于以上背景，本文以经济学、信息学、系统科学等相关学科的理论和方法为指导，以降低政策性银行新的风险为目标，探讨了政策性银行信贷风险产生的内在机理，设计了一套有效控制政策性银行信贷风险的集评价、预测和决策于一体的理论和方法，对政策性银行在经营业务中控制信贷风险有很好的借鉴作用。

首先本文对信贷风险的研究现状进行了综述，而后对政策性银行的概念、特征进行了界定并将其于商业银行进行比较，系统分析了政策性银行与商业银行的区别。其次，对政策性银行的信贷风险进行了识别和分析。再次，阐述了设计信贷风险评价体系的原则，并从定量指标和定型指标两方面对影响信贷风险的变量进行了分析，建立了政策性银行信贷风险评价指标体系。最后，以该指标体系为基础，建立了人工神经网络信贷风险评价模型，并对结果进行了分析。

本文的主要研究成果和创新之处在于，在借鉴国内外信贷风险评级经验的基础上，建立了一套与政策性银行的经营特点相适应的信贷风险评价体系。该体系突出了政策性金融的特点，适用于受国家政策扶植、保护的各类企业，具有很强的针对性，也具有较强的应用价值。

关键词 政策性银行；信贷风险评价；指标体系；神经网络；因子分析

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哈尔滨工业大学管理学硕士学位论文

Abstract

With the rapid development of policy finance in China, we witness a quick rise in the policy credit risk. The ratio of the non-performing loans of the policy bank maintains a high level, and with the development of credit business we will see further increase in the future. China's policy banks of credit risk evaluation still remain in the traditional methods which are subjective judgment and the financial ratios analysis. The credit loan business of policy bank has its own characteristics, but our policy banks don’t have a scientific and effective credit evaluation system from. Because of the current unscientific and ineffective credit evaluation system, the policy banks’ quality of the credit assets can not be improved.

For the situations above, On the basis of the knowledge of economic science and information science and systems science, this thesis makes a deep research on the cause of the credit risk and tries to exploring an available and scientific evaluation system and proposing some other countermeasures to control the credit risk effectively for policy banks.

The study first summarizes the research status of the credit risk, and defines the definition, characteristic and the function of policy banks, and compares with the commercial banks to analyze the differences. Then the following chapter focuses on setting a credit risk index system, and expatiates the variables which may influence the credit risk on qualitative analysis quantitative analysis. According to the credit index system, an ANN (Artificial Neural Network) model for policy bank to evaluation credit risk will be proposed in chapter four.

Keywords Policy Bank; Credit Risk Evaluation; Index System; Artificial Neural Network Model; Factor Analysis

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哈尔滨工业大学管理学硕士学位论文

目录

摘要...............................................................................................................................I Abstract.......................................................................................................................II

第1章 绪论................................................................................................................1

1.1 研究背景...........................................................................................................1

1.1.1 政策性银行存在的意义............................................................................1

1.1.2 政策性银行目前存在的问题....................................................................2

1.2 研究的目的与意义...........................................................................................3

1.2.1 研究的目的................................................................................................3

1.2.2 研究的意义................................................................................................3

1.3 国内外研究现状综述.......................................................................................5

1.3.1 国外的研究现状和发展动态....................................................................5

1.3.2 国内研究现状............................................................................................7

1.4 研究内容与方法...............................................................................................8