基于巴塞尔协议风险框架下的银行信贷资产质量研究

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摘要

信贷资产是商业银行的主要资产，占商业银行总资产的 80%左右，其质量的

好坏，直接影响银行的生存与发展，因此信贷资产也被誉为商业银行的生命线。

近年来，我国商业银行信贷资产质量虽有所改善，但整体水平仍不理想，众多顽

疾始终未能根除。2006 年12 月外资银行将完全享有与国内银行同等的国民待遇，

这意味着中资银行将要面临更激烈的竞争。因此，信贷资产质量是摆在我国商业

银行面前亟待解决的严峻问题。

对于信贷资产质量，国内外学者也进行了大量的研究。纵观多年来，信贷资

产管理的重心多在于事后处置不良贷款而不在于事前加强管理控制，大部分研究

也都停留在如何处置问题贷款，而笔者却认为“治本胜于治标”。基于这一点，本

论文从我国商业银行的实际情况出发，基于巴塞尔新资本协议关于信用风险、市

场风险和操作风险的阐述，分析这三大风险对商业银行信贷资产质量的影响，为

以后商业银行探讨如何提高信贷资产质量提供新的思路。

笔者认为提高信贷资产质量的关键在于找出影响我国信贷资产质量的具体因

素，分析各因素的影响力大小，然后排序。通过分析出来的各因素的影响力，提

供给银行作为监控、管理的参考。因为研究了各个风险及其影响因素后银行就可

以有针对性地进行管理和监控。尽快完善风险管理模式，建立规范化并行之有效

的信贷流程，正确引导商业银行切实提高资产质量、减少资产风险损失，从而提

高可持续的经营效益，保障商业银行持续稳定的健康发展。

本文正是基于这一基本思想而展开对商业银行信贷资产质量有关问题的研究

论述。首先分析了信用风险、市场风险和操作风险各自对信贷资产质量产生的影

响，具体分析每个风险中影响信贷资产质量的各个因素，阐述这些因素如何影响

信贷资产质量。然后阐释了信用风险、市场风险和操作风险对信贷资产质量的整

体影响。研究各个风险对信贷资产质量的影响大小，以及具体每个因素的影响力。

本文尝试运用层次分析法（AHP）来确定各影响因素的重要性，赋予其权重。且

把模糊综合评价法引入到商业银行信贷资产质量评价过程中, 建立了商业银行信

贷资产质量模糊综合评价模型。对指标模糊评价的具体方法进行了研究，根据各

个评价指标具体内容及指标的定性/定量性质，研究确定了相应的指标评价赋值方

法，进而进行模糊综合评价。最后针对影响信贷资产质量影响较大的因素，提出

针对性的措施，以提高银行信贷资产质量，提高我国商业银行的整体竞争力。

关键词：信用风险市场风险操作风险信贷资产质量层次分析法

模糊综合评价法

ABSTRACT

Credit asset which accounts for 80% of total assets is the main asset of commercial

banks and its quality directly influences the subsistence and development of commercial

banks. Therefore, the credit assets are also called “lifeline” of the commercial banks. In

recent years, the quality of the credit assets of Chinese commercial banks has improved

to some extent. However, a lot of pitfalls still exist . In December 2006，the foreign

bank will enjoy completely equal national treatment with the homeland bank. This

implies the Chinese bank will confront with more fierce competition. Credit asset

quality is austere problem to Chinese commercial banks. Therefore, this problem has to

be resolved right now.

The home and abroad scholars have also carried out large amount of research on

the quality of the credit assets. In the past years, most of the research on credit assets

lies in how to dispose the NPLs(Non-Performing Loans).Owing to that this partial,

based on that the New Basel Capital Accord has expounded to credit risks, market risk

and operational risk, this thesis sets off from current situation of Chinese commercial

banks, analyses impacts of this three risk to the quality of the credit assets of Chinese

commercial banks, and provides the new thought for improving credit assets quality.

On the contrary, the author thinks the best way to improve the quality of credit

assets is to find out the factor of affecting the credit asset’s quality, to analyze the

influence of the factors, to order every factor. The influence of the factors is provided to

bank as reference of supervisory control and management. Because we have studied

every risk and their influencing factor, Bank can manage and monitor with a pertinence

way. Bank should protect the perfect risk pattern as soon as possible, establish

standardized and effective credit process, correctly guide the commercial banks to

practically improve the quality of credit assets to reduce the loss of credit assets’ risk.

By doing this, the operation benefits be increased and the sustainable and stable

improvement of the commercial banks can be safeguarded.

Basing on above thoughts, the paper makes research and elaboration on the

questions related to the quality of credit assets of commercial banks. The text is divided

into as follows: The paper analyzes the impaction of credit risk, market risk and

operational risk to the quality of the credit assets of Chinese commercial banks, the

factors of affecting credit assets quality in every risk concretely, and how impact on.

And then paper expounds that credit risk, market risk and operational risk whole effect

to credit assets quality. Paper study the impact of every risk factor to credit assets

quality of is one by one big or small, as well as concrete. The analytical hierarchy

process has been applied to ascertain significance of influencing factors and give its

weights. The paper set up a fuzzy comprehensive evaluation model of the quality of the

credit assets for commercial banks. The paper studies the method of fuzzy evaluation.

The evaluation vector is worked out and will be calculated by fuzzy method. At last, to

some factors which have bigger affecting, the paper bringing forward pertinence

measures to improve credit asset quality and to increase business banks' ability of

competition.

Keyword: Credit risk, Market risk, Operational risk, the quality of

the credit assets, Analytical hierarchy process, Fuzzy

comprehensive evaluation

中文摘要

ABSTRACT

第一章绪论.................................................................................................................1

§1.1 课题的来源及意义...........................................................................................1

§1.1.1 课题的来源.............................................................................................1

§1.1.2 课题的意义.............................................................................................2

§1.2 研究方法...........................................................................................................2

§1.3 研究内容和研究对象界定...............................................................................3

§1.3.1 研究内容.................................................................................................3

§1.3.2 研究对象界定.........................................................................................4

§1.4 主要工作及有待解决的问题...........................................................................4

§1.4.1 主要工作.................................................................................................4

§1.4.2 有待解决的问题.....................................................................................5

第二章信贷资产质量相关研究理论综述.....................................................................7

§2.1 信贷资产与信贷资产质量的概述...................................................................7

§2.1.1 信贷资产与信贷资产质量的概念.........................................................7

§2.1.2 问题贷款.................................................................................................7

§2.1.3 信贷资产质量与贷款风险分类.............................................................8

§2.2 信贷资产质量国内外研究现状.......................................................................9

第三章信用风险对信贷资产质量的影响...................................................................13

§3.1 信用风险对信贷资产质量产生的影响.........................................................13

§3.1.1 信用风险的界定...................................................................................13

§3.1.2 信用风险对银行信贷资产质量的影响...............................................13

§3.2 影响信贷资产质量的信用风险因素分析.....................................................15

§3.2.1 财务因素对信贷资产质量的影响.......................................................15

§3.2.2 非财务因素对信贷资产质量的影响...................................................20

§3.3 小结.................................................................................................................28

第四章市场风险对信贷资产质量的影响...................................................................30

§4.1 市场风险对信贷资产质量产生的影响.........................................................30

§4.2 影响信贷资产质量的市场风险因素分析.....................................................31

§4.2.1 宏观经济波动对信贷资产质量的影响...............................................31

§4.2.2 利率因素...............................................................................................32

§4.2.3 汇率因素...............................................................................................35

§4.2.4 资产价格因素.......................................................................................37

§4.3 实证分析.........................................................................................................40

第五章操作风险对信贷资产质量的影响 ............................................................... 42

§5.1 操作风险的有关理论.....................................................................................42

§5.1.1 操作风险的界定...................................................................................42

§5.1.2 操作风险的成因...................................................................................43

§5.2 操作风险对信贷资产质量产生的影响.........................................................44

§5.3 影响信贷资产质量的具体操作风险因素分析.............................................46

§5.3.1 外部欺诈对银行信贷资产质量的影响...............................................46

§5.3.2 银行内部欺诈.......................................................................................50

§5.3.3 操作失误...............................................................................................52

第六章模糊综合评价法在信贷资产质量评估中的应用研究...................................56

§6.1 模糊综合评价法对信贷资产质量评价适用性.............................................56

§6.2 模糊综合评价原理及步骤.............................................................................57

§6.2.1 模糊综合评价原理...............................................................................57

§6.2.2 模糊综合评价的基本步骤...................................................................58

§6.3 运用模糊综合评价法对信贷资产质量评价.................................................59

§6.3.1 确定信贷资产质量影响要素集...........................................................59

§6.3.2 各要素指标权重的确定.......................................................................60

§6.3.3 确定评价集...........................................................................................65

§6.3.4 确定评价矩阵.......................................................................................65

§6.3.5 模糊综合评价.......................................................................................68

§6.4 小结.................................................................................................................70

第七章提高银行信贷资产质量的措施.......................................................................72

§7.1 我国不良贷款成因实证分析.........................................................................72

§7.1.1 实证分析...............................................................................................72

§7.1.2 结论.......................................................................................................74

§7.2 提高商业银行信贷资产质量的措施.............................................................75

§7.2.1 加强信贷人员素质教育.......................................................................75

§7.2.2 完善对借款人的统一授信制度...........................................................76

§7.2.3 建立道德风险防范体系、落实问责制...............................................77

§7.2.4 加强授信评审独立性...........................................................................78

§7.2.5 加强制度执行力度...............................................................................78

§7.2.6 信贷流程再造.......................................................................................79

结束语.............................................................................................................................80

参考文献.........................................................................................................................81

在读期间公开发表的论文和承担科研项目及取得成果.............................................85

致谢...............................................................................................................................86

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摘要：

摘要信贷资产是商业银行的主要资产，占商业银行总资产的80%左右，其质量的好坏，直接影响银行的生存与发展，因此信贷资产也被誉为商业银行的生命线。近年来，我国商业银行信贷资产质量虽有所改善，但整体水平仍不理想，众多顽疾始终未能根除。2006年12月外资银行将完全享有与国内银行同等的国民待遇，这意味着中资银行将要面临更激烈的竞争。因此，信贷资产质量是摆在我国商业银行面前亟待解决的严峻问题。对于信贷资产质量，国内外学者也进行了大量的研究。纵观多年来，信贷资产管理的重心多在于事后处置不良贷款而不在于事前加强管理控制，大部分研究也都停留在如何处置问题贷款，而笔者却认为“治本胜于治标”。基于这一点，本论文从...

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