金融学本科论文.docVIP

本科生毕业论文 金融经济周期与 商业银行信用风险管理 摘 要 本文首先分析了金融经济周期与银行信贷之间的关系，通过解释经典的经济周期理论，例如凯恩斯经济周期理论、理性预期学派的周期波动理论以及真实经济周期理论，解释商业银行具有亲周期性的基本原因，试图说明经济周期对银行信贷经营的战略目标、资源配置以及经营结果产生的影响。通过说明银行内部评级以及评级机构外部评级方中存在的问题和剂量模型上的缺陷加重了商业银行信贷的顺周期性。 其后，分别提出了在经济上行期间与下行期间存在的潜在风险，如信贷结构不合理、经济衰退会致使利率风险扩大，在经济不景气时，发生不良贷款的可能性会加大。分别就这几点提出相应的风险管理策略。 最后利用上世纪90年代不良我国商业银行不良贷款率的数据进行实证分析，得出相关线性回归方程式，说明在经济增长时期过度的信贷投放将会导致在经济不景气时不良贷款的高发，证实了我国商业银行信用风险的顺周期性，由此提出相应的对策建议。 关键词：经济周期；顺周期性；信用风险 FINANCIAL ECONOMIC CYCLE AND CREDIT RISK MANAGEMENT OF COMMERCIAL BANKS Abstract Firstly this paper analyzes the relationship between the financial and economic cycles and bank credit management. By interpreting the classical theories of economic cycles, for example Keynesian economic cycle theory, economic cycle theory of rational expectation school and Real Business Cycle Theory, try to explain the underlying causes of the pro-cyclical in commercial banks. Try to explain the impaction of strategic objectives, allocation of resource and operating results in the economic cycle on commercial bank credit operations. Then, rise up the potential risks during the period of existence and the downlink respectively, Such as unreasonable credit structure, scale-up of the interest rate risk in economic depression, the increasing probability of non-performing loans when economic downturn, proposed credit risk management strategy respectively. Finally use the date of last century 90’s Chinese commercial banks NPL ratio to do empirical analysis, obtained the related linear regression equation. Illustrate the excessive credit in period of economic growth would lead to the high non-performing loans in economic downturn. Confirmed that the commercial bank’s credit risk pro-cyclical. Thus put forward measures and suggestions. Key words: Economic Cycle, Pro-cyclical, Credit Risk 目 录 引 言 1 一、经济周期与银行信贷之间的关联分析 2 （一）经济周期概述 2 1．凯恩斯经济周期理论(古典) 2 2．理性预期学派的周期波动理论 3 3．真实经济周期理论 3 4．经济金融周期理论 4 （二）经济周期波动与银行信贷的关系 4 1．商业银行的亲周期性 4 2．经济周期波动对银行信贷经营的影响 5 3．现有商业银行信用风险评估