【摘要 (中文/英文)】 长期以来,其不仅涉及了现代社会经济生活的各个领域,也直接影响到一国宏观经济决策和经济发展。在商业银行风险管理中,信用风险是商业银行在经营活动过程中面临的主要风险之一,加强信用风险管理对商业银行十分重要。而对信用风险的准确度量和有效管理是商业银行提高风险的识别、评估、预警、控制能力的前提。因此,精确度量信用风险是实现信用风险有效管理的关键环节,其意义在于:通过调整银行的信用风险暴露、计算合理补偿以及优化配置银行资本来提高银行的总体竞争力。 随着社会的进步经济的发展,传统的度量和管理信用风险的方法和手段己远远不能适应当今社会发生的新情况和新问题,更不能满足银行对信用风险进行科学量化度量和有效管理的需要。而现代金融理论的发展和新的信用工具的创新,为开发新的信用风险计量模型提供了必要的理论工具。在上述利用新型信用风险计量模型量化信贷风险方面,西方商业银行的进程要快于中国商业银行,具体体现为:中国商业银行内...更多部评级仅仅处于起步阶段,用于客户的筛选和风险的预警,而未向更深层次的风险量化管理方向发展。 与此同时,中国市场化改革的深入使得中小企业成为一支不容忽视的经济力量,并在中国的经济社会体系中承担着愈加重要的角色。而处于转型时期的中国商业银行,不仅致力于推进公司治理结构的改善,股权结构的调整,募股上市的实现,而且还在稳步推进业务结构、客户结构和盈利结构的转型,以期真正提升市场竟争力和抗风险的能力。在转型过程中,银行对客户结构的调整是具有战略意义的调整,其对银行的业务结构、盈利结构都会产生深远的影响。商业银行的客户对象从集中于国有大中型企业正逐步向多种经济性质的客户、向不同规模的客户进行战略转型,中小企业客户也正成为商业银行争夺的重要客户源。由于中小企业信贷具有金额小、笔数多、频率高、时间急等特点,导致银行对中小企业贷款的管理成本相对较高,削弱了商业银行拓展中小企业信贷市场的动力;因此,如何将较为先进的信用风险计量模型改良并运用于中国商业银行中小企业信贷风险管理,以提高管理效率、降低甄别成本,具有一定的理论和实践意义。 本文的创新之处体现为: 首先,在深入分析企业财务指标模型和KMV模型风险度量的思想和技术基础上,结合中国的现状,提出模型修正方法和参数估计方法。 其次,尝试定性与定量方法相结合。数据主要来自于证券市场交易行情和上市公司公布的财务报表,在研究中采取了定性与定量相结合的方法。 最后,在考虑中小企业特殊性的基础上,调整现有企业指标的Logit模型,并验证该模型在评价中小企业信贷状况过程中的有效性;同时剖析KMV模型度量方法、理论和模型,并采用时间序列数据计算股权波动率,采用截面数据计算违约距离和预期违约率;并通过将KMV计算结果引入含有企业财务指标的Logit模型,以验证KMV模型在评估企业信用时的有效性。 在文章的结构安排上,本文以五章的篇幅进行阐述: 第1章为导论部分,介绍了本文的论述研究背景、研究方法、研究难点和文献综述; 第2章主要对信用风险的基本内容进行了较为详细的讨论,包括信用风险的定义、分类和度量方法; 第3章主要分析了信用度量模型在中小企业信贷风险管理中的适用性。在总结中小企业信贷风险管理的特点基础上,分别分析了信用评级模型和在险价值模型在中小企业信贷管理中的适用性; 第4章主要论述信用度量模型在中小企业信贷风险度管理中的应用。利用统计软件对中小企业样本及其配对样本的基本财务数据进行筛选并构建财务指标模型,同时在运用KMV模型计算出违约距离,并将其作为风险因子再次引入财务指标模型,进而比较前后两个回归模型的在判断企业信用过程中的有效性。 第5章对信用度量模型在中小企业信贷风险管理中的应用提出了相关建议。 随着我国银行信用风险管理技术的完善及中小企业在经济发展中的作用日益显露,商业银行为优化客户结构、 

 In the long run, credit risk is an essential risk in financial system, specially in banking. It’s invovled in every field of the modern society economy. In the risk management of commercial banks, credit risk is the main risk confronted with by commercial bank in their operation. And it is the improvement of the ability to identify, estimate and control the risk that judge the nice torlurance and effective management of the credit risk in commercial bank. And the precise measure to the creidt risk is the important part of the effective credit-risk management. As the develop of global economy, the traditional measure and management method of credit risk have not been able to adapt the new situation and the new question which arises in today's society, and cannot satisfy what is needed in the scientific quantification measure and the effective management of the credit risk. The banking industry in the western developed country has already introduced the great advanced internal credit risk measure model which use all information what can be obtained to valuate the enterprise credit condition. Compared with the West commercial bank's credit risk management commercial level, there still are a great gap between domestic bank and west band especially in risk quantification country's commercial bank is concerned, the bank aspect disparity. As far as our internal rating is still in initial stage,internal rating system which the commercial bank develops mainly uses customer selection and risk warning, not yet use credit risk quantification management. Therefore, with the financial mechanism reform and financial opening step speeding up, commercial bank's risk management consciousness obviously has been strengthened, the banking industry have progressively realized the importance of the marketability operation, prudent operation and risk management on banking industry. We need to reevaluate the credit risk measure and the management method, establishing the new measure model that is suitable our country's credit risk management level. At the same time,the improvement of the economy reformation in China give the SME lots of oppirtunity to become an outstanding power in the institution of economy in China. The commercial banks in this transition period, are trying their best ,not only to promote the improvement of corporate governance structure, ownership structure adjustment, the realization of offering listed, and also to progress steadily business structure and profit structure in order to enhance their overall competitiveness and risk-resistance capability.The target customers of commercial banks are gradually transfered from the large and medium-sized state-owned enterprises into the different sizes such as the SMEs. The SMEs credit is charactered with small amounts, frequency, urgency, and others, leading banking to take on the higher cost of SMEs management and weaken the force of the commercial banks in SME credit market;So, how to use the more advanced models of credit risk measurement and improve SME credit risk management of the commercial banks in china is essential to improve management efficiency and reduce the cost of screening, which has some theoretical and practical significance. This paper takes the SMEs credit risk measurement of the commercial bank as the research direction, presenting and analyzing the traditional credit risk method and the modern credit risk model, revising the models based on the present situation of our country banking to make the model follow the credit risk condition of SMEs in our country. As the model is especially suitable for the credit risk measurement of listed company, this paper makes the empirical analysis about the actual measurement effect of the financial index model, the KMV model and their combination based the data of listed companies, through the empirical analysis, pointing out that the combination model has credit risk measurement function in SMEs risk management. Finally, the author proposes policy suggestion on the models application and looks forward to the application prospect in the future. Therefore, this paper includes 5 chapters. First chapter is the paper introductory, in this chapter, the author introduce the research background, research method, research difficulty and the literature review Second chapter is about the credit risk presentation, in this chapter, the author defines the conception of credit risk ,the classification and the measure method, mainly introducing basic theory, computation step and the advantages and disadvantage of the traditional credit risk model and the modern credit model. Third chapter is about the appliablity of the the financial index model and the KMV model based the conclusion on the characters of SME credit risk management in commercail banks, in this chapter, including the models’advantage and disadvantage. Fourth chapter is mainly about the the financial index model, the KMV model's applicability and their combination model on credit risk measurement of listed company. In this chapter, financial index model of lised companies(included the SME and the big companies) is estabilished by SPSS, DD is calculated under the KMV models, and the combination model is builded.The author clarifies the computation process of the models and obtains the empirical results of empirical analysis, also finds some question in practical application and explains these question. Fifth chapter is about policy suggestion on the risk measure model application and the application prospect in the future.

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