Application of the Credit Metrics in the Credit Risk Management of Commercial Banks

Credit risk is one of the main risks the commercial banks faces all over the world,especially in the risk structure of the banks of China.In order to control credit risk more scientifically,we shall connect the qualitative analysis and the quantitative analysis.Put forward by J.P.Morgan Credit Metrics model is the application of the VaR in the field of credit risk,showing great advantage in quantitative bonds and credit risk of loan.This paper studies the Credit Metrics model and analyzes the hypothesis and framework of this model,attempting to explore the application of the model in China in order to promote the realization of the risk quantification of the commercial banks of China.

The Relationship Between Credit Risk Management and Profitability Among the Commercial Banks in Kenya

Banks operate in an environment of considerable risks and uncertainty. Credit risk has always been a vicinity of concern not only to bankers but to all in the business world because the risks of a trading partner not fulfilling his obligations in full on due date can seriously jeopardize the affairs of the other partner. Credit risk management in banks has become more important not only because of the series of financial crisis that the world has experienced in the recent past, but also the introduction of Basel II Accord. The objective of the study was to establish the relationship between credit risk management and profitability in commercial banks in Kenya, Both qualitative and quantitative methods were used in order to fulfill the main purpose of the study. A regression model was used to do the empirical analysis. The results obtained from the regression model show that there is an effect of credit risk management on profitability at a reasonable level. The findings and analysis reveal that credit risk management has an effect on profitability in all the commercial banks analyzed.

Credit Risk Transfer and the Performance of Commercial Banks --Based on the Panel Data

Based on the panel data, we analyze the US commercial banks＇ CRT. According to the study, we find that the introduction of CRT will increase the level of banks＇ liquid risk. The performance of bank mainly is that its supervision and review of risk will drop, based on the impact of asymmetric information, commercial Banks transfer the bad loans to investors. Through the analysis we can see that after the transfer of credit risk in commercial bank did not increase income and reduce risk. Because commercial Banks can extend more bad loans to expand its lending scale, and bad loans will increase the bank overall risk.

基于Credit Risk+模型的我国西部地区农村商业银行信用风险评价及防范研究——以四川某农村商业银行为例

近几年西部地区农村商业银行发展迅速,但其现有的信用风险评价方法较为落后,不能很好地度量其信用风险,本文选用Credit Risk+模型作为研究我国西部地区农村商业银行的信用风险评价模型,以西部地区四川省某农村商业银行为例,对其信用风险进行评价分析,得出相关结论,并提出利于西部地区农村商业银行发展的对策建议。

Banks＇ Earnings, Risks and Returns in China

This study aims to find the effect of financial risks, price risks and market risks on the Earning Response Coefficients （ERC） for China Commercial Banks. The research methodologies use the traditional cumulative abnormal returns and the unexpected earning as the main dependent and independent variables. The evidences show that： （1） There is a strong returns-to-earnings relation for banks; （2） The liquidity risk has information content beyond earnings changes in the returns-to-earnings relation. This probably due to the reason that managers of banks find the level of liquidity that fulfilled the need of investors and at the same time earns good profits for the banks.

Analysis of the Problems and Countermeasures of China’s Green Credit

At present, China’s green credit market is the most important channel for green financing and has a great influence on the development of China’s green finance. Based on the collection and arrangement of the related data and information, the paper points out the main problems which is existing in China’s green credit by figures and examples from aspects of detail standards of policies, the matching level between deposits and loans and the management ability of avoiding environmental risk. Furthermore, the paper puts forward corresponding countermeasures of the problems.

The Impact of Bank-Specific and Macroeconomic Factors on Non-performing Loans in Sri Lankan Commercial Banks

The main purpose of this study is to ascertain the effect of bank-specific and macroeconomic factors on non-performing loans in systemically and non-systemically important commercial banks in Sri Lanka over 10 year’s period from 2004 to 2013.Also,the study examines the impact of civil war that prevailed in the country for 30 years on the ex-post credit risk of the banking sector.The study employed panel data methodology to investigate the effect of bank-specific and macroeconomic factors on non-performing loans.Panel unit root test has been undertaken in order to test the stationary of the variables.Hausman test and Wald coefficient restriction test were used to select the appropriate model out of pooled,random,and fixed effect.A dummy variable panel regression model adopted to study the war effect,considering 2009 as the structural year.Findings revealed that return on assets as a proxy for bank efficiency has a significant negative influence,while non-interest income as a proxy for income diversity is positively correlated with non-performing loans of systemically important banks.Both real gross domestic products and lending rates were highly significant in both bank types.On contrary with literature,growth in bank branches is negatively correlated.Public banks do not account for higher level of non-performing loans compared to their private counterpart.Finally,it was identified that civil war had an effect on the level of non-performing loans in commercial banks.The research would have benefited if the analysis is carried out among classified types of loans offered by commercial banks.Future researchers should involve in identifying the most significant contributing loan type to the non-performing loans and its determinants.This study is one of the few studies which have investigated the causes of non-performing loans in the commercial banking industry in Sri Lanka.The analysis of civil war and its impact on non-performing loans is the first study of that nature to be conducted in the context.

企业数字化采购如何影响商业信用融资

本文基于中国A股上市公司样本数据,从采购平台视角构建企业数字化采购的度量指标,实证考察企业数字化采购对商业信用融资的影响。研究发现,企业开展数字化采购有助于提升商业信用融资水平。机制检验表明,企业数字化采购通过提高信息透明度以增强供应商的信任、降低经营风险以减少供应商的担忧、降低供应商集中度以弱化其谈判地位,从而推动供应商增加信用配给,提升企业商业信用融资水平。进一步地,企业数字化采购对商业信用融资的正向作用在供应链运营环境较好和地区社会信任水平较高时更为明显。企业数字化采购在提升商业信用融资水平后,可以进一步加快其资本结构调整速度。本文从商业信用融资的视角拓展了企业数字化采购的财务治理效应及其影响机理的研究,对企业积极开展数字化采购,进而加快供应链数字化建设具有重要启示。

诉讼事件披露、企业风险与商业信用融资——基于信号传递理论的分析

以2010—2020年间A股上市公司为研究样本,考察供应链中诉讼事件披露对商业信用融资的影响。研究发现,诉讼事件披露会导致企业商业信用融资减少,且涉诉总金额越大,诉讼事件披露对商业信用融资的负向影响越严重。作用机制检验结果表明,诉讼事件披露主要通过增加企业经营风险和信息风险两条路径对商业信用融资产生影响。调节效应分析显示,供应链集中度越高、产品市场竞争越激烈,诉讼事件披露与商业信用融资之间的负相关关系越强。进一步研究发现,披露败诉结果和诉讼赔偿会加剧诉讼事件对商业信用融资的负向影响;当诉讼类型与供应链业务相关时,诉讼事件对商业信用融资的负向影响更强,但若涉诉企业为主诉方,则这种影响较弱。此外,较高的内部控制质量有利于缓解诉讼事件披露对商业信用融资的负向影响;随着涉诉总金额的增加,供应链上下游会更加不信任涉诉企业,进而导致其所能获得的商业信用融资进一步减少。

creditrisk^＋模型在信贷组合信用风险度量中的应用研究

creditrisk^+模型以泊松分布为理论基础,是一种输入数据较少、计算复杂度较小、便于在银行实际中应用和推广的信贷组合信用风险度量模型.本文在分析国外creditrisk^+模型频带划分缺陷基础上,改用加权平均的频带划分方法,并提出了新的违约率参数的确定办法,利用creditrisk^+模型对大连市商业银行某支行224笔中小公司贷款的非预期损失进行了实证计算.结果发现:creditrisk^+模型可以有效地计量信贷组合的非预期损失且可提高我国商业银行经济资本管理效率.

超额商誉与商业信用成本:基于风险和内控视角

为厘清超额商誉与商业信用成本间的关系,从供应商与企业间融资成本视角出发,以2014—2021年沪深A股公司为样本,基于信号传递理论,分析超额商誉对商业信用成本的影响机制。研究发现:超额商誉正向影响企业商业信用成本;超额商誉通过加剧企业经营风险,进而增加商业信用成本;较高的内部控制质量对超额商誉与商业信用成本间关系起负向调节作用,且随着内部控制质量的提升,超额商誉加剧经营风险的作用会有所减少,相应其对商业信用成本的正向影响也会减弱;在独立董事比例高、高管股权激励水平高和高管薪酬激励水平低的情形下,超额商誉对商业信用成本的正向影响降低,较高的独董比例和高管股权激励能一定程度缓解超额商誉的负面影响。

数字化转型对我国商业银行信贷风险的影响

近年来,数字技术和实体经济的融合愈加深入,数字化转型成为商业银行发展的重要方向,但商业银行数字化转型对其信贷风险的影响仍有待探究。基于北京大学中国商业银行数字化转型指数和我国208家商业银行2010—2021年的非平衡面板数据,运用双向固定效应模型实证检验了数字化转型对商业银行信贷风险的影响。结果表明:数字化转型能显著降低信贷风险,这种影响是通过降低银行的信息不对称程度和提高经营效率发挥作用的;数字化转型对银行信贷风险的影响呈现异质性,相比而言,大规模、国有、高人员素养水平的银行数字化转型降低其信贷风险的作用更大。

借贷便利创新工具、资产收益率与商业银行信用风险

本文基于2014—2021年中国203家银行的非平衡面板数据,考察借贷便利创新工具对商业银行信用风险的影响。实证分析发现:借贷便利创新操作会显著增加商业银行信用风险,该结论在考虑内生性问题以及进行一系列稳健性检验后依然成立。异质性检验显示,这一政策效应在区域性商业银行、规模较小的商业银行中表现得更为明显。中介效应模型检验表明,借贷便利创新工具通过抑制商业银行资产收益率的渠道增加信用风险。调节效应模型检验结果说明,资本监管力度和银行家乐观度的提高均会减弱借贷便利创新工具对商业银行信用风险的加剧效应。该研究结论对于中央银行适时适量地进行借贷便利操作和商业银行信用风险管理防控具有借鉴意义。

商业银行信用风险管理对绿色信贷的影响研究

商业银行对信用风险管理不善会直接影响到银行的信贷资产。而衡量银行信用风险指标有很多,但缺乏一个影响机制的综合分析。文章主要采用模糊集定性比较分析(fsQCA)方法,提出由不良贷款、次级类贷款迁徙、可疑类贷款迁徙、信用风险加权资产、单一最大客户贷款比例、银行的社会责任组成的银行信用风险管理模型对绿色信贷的影响机制进行研究。得出信用风险管理影响绿色信贷的三种驱动方式,分别为资产监管驱动型、信贷迁徙驱动型、社会责任驱动型。

数字普惠金融对商业银行信用风险的影响——基于存款和贷款结构的联合视角

目前国际和国内的金融经济基本面发生了重大变化,数字普惠金融已经成为影响商业银行信用风险的重要因素。从数字普惠金融角度,基于存款和贷款结构的联合视角,选取2011—2021年中国52家上市商业银行的年度数据,考察了数字普惠金融对于商业银行信用风险的影响及其作用。研究结果表明:数字普惠金融会削弱商业银行的中介职能,进而显著增加商业银行的信用风险,且在股权和产业结构下存在异质性特征;数字普惠金融会恶化商业银行存款和贷款结构,从而增大商业银行信用风险;数字普惠金融对于商业银行信用风险的提升作用会随着商业银行数字化转型程度的提高而减弱。因此,金融监管部门应当全面监管金融活动,鼓励商业银行进行数字化转型和差异化信用风险管理,以期推动商业银行健康发展。

跨境资本流动与商业银行系统性风险

防范化解商业银行系统性风险是推动银行高质量发展的重要路径,也是牢牢守住不发生系统性金融风险、保障国家金融安全的重要抓手。在理论分析基础上,运用银行微观数据实证检验跨境资本流动强度对商业银行系统性风险的影响效应和影响机制。研究表明:第一,提高跨境资本流动强度显著降低了商业银行系统性风险,增强证券投资、其他投资的资本流动强度显著降低了商业银行系统性风险,而增强直接投资资本流动强度有利于降低商业银行系统性风险。第二,银行信贷规模和信贷集中度是跨境资本流动强度对商业银行系统性风险影响的重要渠道,提高跨境资本流动强度有利于增加银行信贷规模,降低银行信贷集中度,而银行信贷规模的增加和银行信贷集中度的降低有助于降低商业银行系统性风险。“跨境资本流动强度—信贷规模/信贷客户集中度—商业银行系统性风险”传导渠道有效。第三,相比大型国有银行,跨境资本流动降低商业银行系统性风险效应在中小银行中表现更明显。因此,在进一步建立健全跨境资本流动机制的基础上,应更加重视银行信贷业务,强化银行监管,同时加强同国际金融机构合作,推动商业银行高质量发展。

信用管理视角下商业银行数字化转型演化与挑战研究

数字经济时代,商业银行加快数字化转型,才能更高效地赋能实体经济发展。商业银行经营遵循“三性”原则,即安全性、流动性、盈利性,其中安全性居于首位。安全与风险相对,作为经营风险的机构,商业银行开展运营无时无刻不在考量各种业务风险。当前,银行正在开展业务、产品、渠道、服务、风控、运营、绩效等全方位的数字化转型工作,关于数字化转型的进展情况,本文借助文本分析法,通过Python爬取上市商业银行年报中的数字化词频数据,分析其数字化转型演化进程,总结其数字化转型面临的挑战,为其有序开展数字化转型工作、优化数字化转型方案提供对策建议。

绿色信贷对商业银行风险承担的影响及其异质性研究——基于系统重要性银行和非系统重要性银行

基于大型商业银行、股份制商业银行、城市商业银行和农村商业银行等35家银行2011~2020年的面板数据,使用固定效应模型实证考察绿色信贷对商业银行风险承担的影响。研究表明:商业银行发展绿色信贷业务对其风险承担产生影响,并且绿色信贷规模的扩大能够降低银行风险;不同规模的银行受绿色信贷的影响也不一样,实证研究主要比较了系统重要性银行与非系统重要性银行。研究显示,系统重要性银行的风险承担受到绿色信贷的影响相对于非系统重要性银行更加显著。

企业社会声誉、经营风险与商业信用融资

组织的社会声誉事关企业间的交易和信用关系,是构建企业动态竞争优势、推动企业高质量发展的重要推手。以2009—2021年A股上市公司为研究对象,实证探讨了企业社会声誉对其商业信用融资的影响,以及经营风险的中介传导效应。研究结果表明,企业社会声誉与商业信用融资之间存在显著的正相关关系,即企业社会声誉越高,其获取商业信用融资的能力越强,经营风险水平在企业社会声誉影响商业信用融资的过程中起到了中介传导效应,表明企业社会声誉的提高会降低其经营风险,进而促进其商业信用融资。进一步研究发现,不同的产权性质、企业规模对企业社会声誉与商业信用融资之间关系的影响存在差异。研究结果对于保障企业及时获取融资,推动企业长足稳定发展具有重要参考价值。

商业银行信用风险数字化管理体系建设

随着银行业的不断发展和国家监管要求的加强,商业银行信用风险管理已经成为一个重要问题。本文从数字化管理体系方面出发,探讨商业银行信用风险数字化管理的必要性,并提出信用风险数字化管理体系的构建框架和管理准则。通过梳理国内外相关研究和实践经验,总结出商业银行信用风险数字化管理体系的关键指标和操作流程。分析了信用风险数字化管理体系效果和现有问题,并提出相应的改进建议。