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  本文關鍵詞： 商業(yè)銀行 價值評估 違約率 KMV模型　出處：《首都經濟貿易大學》2017年碩士論文　論文類型：學位論文

【摘要】：一直以來,銀行業(yè)都是國民經濟中重要的組成部分,隨著2002年至2011年這十年中國經濟的高速增長,銀行業(yè)也處于黃金發(fā)展的時段。但在2012年之后中國經濟增速下滑,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質量的降低。追其原因,主要是宏觀經濟不景氣,導致企業(yè)盈利困難,銀行為了控制風險,貸款增速放緩,同時由于企業(yè)資金周轉困難,進一步加劇還貸的難度,從而引起資產質量下降。另外,商業(yè)銀行目前仍然面臨著較大的信貸違約的壓力,在去產能的過程中,一些停產、限產、破產項目或企業(yè)違約的可能性很大。違約率的攀升,會對銀行的利潤及盈利能力產生很大的影響,會造成商業(yè)銀行的不穩(wěn)定,進而對商業(yè)銀行的整體價值造成一定的影響。商業(yè)銀行作為一種特殊的企業(yè),它的價值不僅會受到外部環(huán)境因素諸如宏觀政策的影響,更會受到其自身獨特個性和內部條件的影響。如今,在商業(yè)銀行面對各種復雜多變的外部風險時,銀行內部風險監(jiān)控的好壞對于銀行貸款質量的高低起著決定性的作用,降低銀行的違約風險,這也直接影響著銀行最終的利潤。對于我國銀行而言,占比最大的業(yè)務是存貸款業(yè)務,所以,在我國若想要提高商業(yè)銀行的價值,首先必須要注重其存貸款業(yè)務,提高其資產質量,降低違約貸款的比例。因此,對影響商業(yè)銀行價值的一個風險因素——違約率,將是本文所要研究的重點內容。本文采用理論與實證研究相互結合的方法,全文總共分為六個部分:第一章為引言,介紹了本文的研究背景及意義,對相關文獻作了綜述,并簡單介紹本文的研究思路與內容;第二章在對我國商業(yè)銀行價值評估中的風險進行分析的同時引出對違約率相關概念的界定以及闡述測算銀行違約率的意義;第三章是基于測算違約率的現(xiàn)代模型——KMV模型所做的實證分析,在闡述KMV模型相關原理的同時對我國上市商業(yè)銀行違約率進行測算;第四章是在上一章測算結果的基礎上對樣本銀行分組進行違約風險的比較以及驗證違約率與商業(yè)銀行價值之間的關系;第五章根據前兩章的實證分析得出結論及研究的局限性,同時對完善我國商業(yè)銀行價值評估提出一些建議。
[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.
【學位授予單位】：首都經濟貿易大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.33;F830.42

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本文編號：1546826