|
留学作业网提供留学生金融学硕士课程作业指导，专业指导留学生金融学硕博课程论文，本文是一个样本选择，以实际金融数据分析与统计，对10家上市公司股票实行了数据分析。Sample selection
As we all know, the listed companies was a loss in two years, which is processed with ST. the credit risk of ST companies is higher than that of the common company. In this paper, the samples were selected for the 10 ST listed companies with the pair of 10 blue chip companies, a total of 20 listed companies during the 2006 market and financial data, the empirical studies of financial and market data are taken from the securities Qian Longsheng Star sites and securities analysis software. In order to ensure the continuity of research samples and the calculation accurate the market equity value of the listed companies, we choose the 10 listed companies as the sample, which issue shares in different sectors in 1 January, 2000 by listed companies. Shanghai and Shenzhen stock markets have 5 companies in ST companies and blue chip companies. Taking into account the comparability between the sample and to avoid to the interference of the transaction places, industry, the paper choose the matching blue-chip company based on three conditions: ① ST with the paired companies belong to one industry: ② the company matching with ST Inc. is in the same stock exchange with; ③ ST matching the company's assets and liabilities are greater than the rate of 50%. ④ earnings per share over the past three years an average of 0.4 Yuan.
Data Analysis
the stock volatility calculation
Shares calculated on the basis of fluctuations in the rate of heavy machinery as an example to illustrate, using Excel statistical analysis software available to calculate Table 2, and the company's standard deviation.
Table 2 the rate of week volatility and fluctuations in stock
Code stock Week volatility rate year volatility rate
G600150 ZHONGJI 0.09210666 0.65128888
G600079 RENFU 0.059589 0.42135
G600875 DONGDIAN 0.070585 0.49911888
G600686 JINGLONG 0.10093888 0.71373999
G600616 SHIPING 0.0871555 0.61624444
G000651 GELI 0.08308 0.58748666
G000063 ZHONGXIN 0.06285 0.44443888
G000792 JIAFEI 0.08720222 0.61661111
G000911 NANTANG 0.11955 0.84538999
G000042 SHNEGCHANGCHENG 0.06922 048950222
ST600645 ZHENGHEN 0.0830 0.58711
ST600759 HUAQIAO 0.87536 6.18975
ST600745 TIANHUA 0.08661 0.61246
GST600609 JINGBEI 0.07156 0.5060222
ST600891 QIULING 0.05394 0.38143555
ST000561 CHANGLING 0.08186222 0.57885222
ST000035 KEJIAN 0.07316 0.51738
ST000719 XINDU 0.07000 0.49498
ST000885 CHUNDUN 0.06322444 0.44706111
ST000540 ZHONGTIAN 0.06463 0.45706
Resource: http://www.stockstar.com/
Calculation Market value of the assets of the company and the value of the assets volatility #p#分页标题#e#
Assumed that the assets value of the company is subject to the normal distribution, then the company’s risk-neutral default rates is also easier to find.
Default implementation of point (DPT) = current liabilities (CL) +50% long-term liabilities (LL = 160642.19 +50% X4893.60 = 163089
Equity market value (V) =-week average closing price x flow Unit number + per share net asset x Unit number of the flow:
E = 20.0325X10164 +3.406 X13985.31
= 251244.2959 (million)
To use numerical method for solving differential and more can find the value of the company's assets and asset volatility. Solution through iteration of the equations to calculate the value of the assets and the volatility of returns on assets, calculated through the Matlab mathematical calculation software, and
Heavy machinery and assets of the value of the assets volatility for the v = 410393.99875 (million), = 0.40082494 (million), and the remaining shares of the calculation results in Table 3.
TABLE3 market volatility and asset value
Code stock volatility rate assets value
G600150 ZHONGJI 0.4008249 410393.999
G600079 RENFU 0.2203515999 235861.893
G600875 DONGDIAN 0.1539324999 939724.875
G600686 JINGLONG 0.2165898999 453138.205
G600616 SHIPING 0.4178130222 410345.568
G000651 GELI 0.1755576333 1653060.81
G000063 ZHONGXIN 0.2768360333 2610746.53
G000792 JIAFEI 0.495532666 970848.20555
G000911 NANTANG 0.511009222 336177.936
G000042 SHNEGCHANGCHENG 0.2497732222 374484.786
ST600645 ZHENGHEN 0.166790777 122126.36777
ST600759 HUAQIAO 0.0426582999 43783.4503
ST600745 TIANHUA 0.9647422666 一11378.4962
GST600609 JINGBEI 0.1429593888 403790.57222
ST600891 QIULING 0.1397948 78319.0260
ST000561 CHANGLING 0.0886462 140711.509
ST000035 KEJIAN 0.8244800 一118224.771
ST000719 XINDU 0.149768222 84903.2247
ST000885 CHUNDUN 0.2230578 31577.8097
ST000540 ZHONGTIAN 0.1541463 91842.3740
Default distance and the calculation of risk-neutral default rates
Default distance is an indicator which denotes the value of the default risk. KMV model definition of default from the DD:
Table 4 default from the stock
Code stock default from the stock
G600150 ZHONGJI 1.50340904
G600079 RENFU 2.323307387
G600875 DONGDIAN 1.884071767
G600686 JINGLONG 1.233507721
G600616 SHIPING 1.601597074
G000651 GELI 1.568091487
G000063 ZHONGXIN 2.218712427
G000792 JIAFEI 1.612347267
G000911 NANTANG 1.124623177
G000042 SHNEGCHANGCHENG 1.994769352
ST600645 ZHENGHEN 1.559601419
ST600759 HUAQIAO 0.283863945
ST600745 TIANHUA 0
GST600609 JINGBEI 1.074618859
ST600891 QIULING 1.333404871
ST000561 CHANGLING 1.441603439
ST000035 KEJIAN 0
ST000719 XINDU 1.897370889
ST000885 CHUNDUN 1.455888287
ST000540 ZHONGTIAN 1.12268629
results of empirical Analysis #p#分页标题#e#
By anglicizing the 20 stock in market Shenzhen and shanghai, from the point of view, we can draw a conclusion that the breach of contract of ST stocks is generally 1.2711 shorter than that of the average default, and the breach of contract of the default blue-chip market is a relatively 1.7064 longer than that of the average default .the market assets value of ST600745 and ST000035 is negative, which denote that it is serious breach of contract, and the distance of breach of contract is 0. We can draw a conclusion through the distance for the analysis of default, breach of contract from the big, the strong solvency, credit risk; Instead of default from the small, the weak solvency, credit risk. Table 4 is obviously the result of a agreement with this conclusion. Through the evidence, this paper argues that the model can be applied to listed companies in the evaluation of credit risk.
① the current value of the assets of the company's stock market value by a greater impact of the current value of assets is generally higher than the market value of the stock. ② fluctuations in the value of the assets of the company's shares of slightly less than the rate of price fluctuations. ③ risk-neutral environment, ST listed companies have a higher default rate, the highest average of 2.26% ④breach of contract can better reflect from the credit of listed companies ,and the model's main advantage is that the distance of non-listed companies can continuously updated real-time adjustments with stock market data, the greater the default from the credit quality of loans, the better; otherwise, it is lower. Breach of listed companies is very good results to inspect the credit of the real-time. In addition, we can track inspections according to the company's balance sheet in the short-term and long-term borrowing each month, and timely update changes, and pay close attention to the lender bank card balances, according to the new loan amount of customers, timely re-calculated to quantify the probability of breach of contract and breach the distance. In our country the default of the listed companies can be taken the early warning indicators from the bank loans to monitor. However, due to current lack of important data related to the database, there is no data to support a large number of listed companies will be the default distance into the frequency of anticipatory breach of contract, loan recovery and there is no data, so there are certain difficulties in the valuation of its loans.
policies and proposals
Draw on the status quo of credit risk management of industrial and commercial bank with the new Basel Capital Accord, we can analysis the causes of the problem of the bank's credit risk, including credit risk assessment systems, matrix-based risk management system of organizations bank credit risk evaluation system performance, and analysis breach of contract of early warning systems with a new comprehensive commercial bank credit risk management system.
to establish and improve the credit risk rating system #p#分页标题#e#
To establish the independent sector of the credit risk rating. The departments in the organizational structure and personnel appointments and removals should be independent of the decision-makers and sector loans in order to ensure the objectivity of the ratings; second is to establish reasonable procedures for internal assessment to establish risk management standards, information disclosure system, the rating procedures and so on, so that the risks to their correct judgments on the basis of timely assessment; The third is to establish the credit risk rating supervision departments, and set up the ratings department of external supervision departments in order to carry out regular inspection of the rating results, and thus making risk rating sector role in the formation of checks and balances. The fourth is to strengthen the building of risk management personnel to improve the analysis of lending capacity and ability to judge, to enhance the level of risk management and establish more consistent with the risk management needs of the rating system.
gradual development of quantitative models
At present, ICBC has already its own credit risk rating system, personnel, and ICBC's urgent need to address the issue of how to improve the accuracy of credit rating, which requires from the rating data and rating the two-pronged approach. In the data, the first is to improve data quality, such as banking enterprises to strengthen the internal audit of accounting statements, in the sample based on a sample of default, to reflect the characteristics of China's enterprise risk indicators; second is to collect the estimated default rate the required data, such as the default time, clients over the years credit-default, breach of contract type, settlement type, industry type and country of origin (region), such as: there is the default loss estimates to collect the required data rate, such as the borrower, the loan that the loan default situation of the remaining loans, mortgages / security situation, the recovery of default data, etc.; four are based on internal and external data, the establishment of a risk database. In the rating method, the mainstream comprehensive scoring method of China's Industrial and Commercial Bank of is to gradually apply the new statistical methods or statistical model to quantify the risk of credit rating .Therefore, the risk of the ICBC's next step forward in the direction of measurement is to first improve the existing credit rating in the system based on the principle of credit risk models, the establishment of appropriate risk characteristics of Chinese enterprises in modern credit risk models; Second, the study of Chinese interest rates market risk on the impact of the banking market, the establishment of market risk model; In addition, a comprehensive risk management in banking organizations, the restructuring process on the basis of research into operational risk categories, the accumulation of operational risk data, the establishment of operational risk models, and ultimately to build a comprehensive risk management model. #p#分页标题#e#
to establish risk management performance evaluation system
ICBC advanced the adoption of risk-adjusted performance evaluation of the capital gains (RAROC) system, which can be applied in different business units, branches and products, to carry out performance appraisal and economic capital allocation, so as to achieve rational resource allocation, and ultimately maximize shareholder value. ICBC at present due to the lack of appropriate performance evaluation tools has been difficult to compare the accuracy and reasonableness of each business line or the branch of the true performance. Therefore, the ICBC's need to develop RARoc system, to establish the two prerequisites RARoc system risk pricing and risk measurement ICBC in addition to speeding up the development of risk measurement models, but also it should establish the risk pricing mechanism. Risk and profit-driven business development and profit maximization, rather than to maximize the scale of business. ICBC established RARoc risk portfolio management system, and the branch should be mainly responsible for a single business risk management, head office, mainly from the perspective of portfolio risk management. Through the RAROC system, we can be in different business lines / branches between the distributions of economic capital, ensuring the realization of risk management strategies.
Matrix-based risk management system of organizations
In the reform of the system of property rights of State-owned ICBC, in order to establish state-controlled joint-stock banks of state-owned ICBC , we can reshape China ICBC credit risk management system.
conclusions
Based on issue of credit risk, this paper discuss the theoretical basis for the quantification management of credit risk ,and analysis the impact of the new agreement on the ICBC's credit risk management .the paper give the empirical research on the ICBC's credit risk ,and put forward the idea to establish the ICBC's credit risk rating and risk management matrix of organizational system ,and the technological innovation of the credit risk qualification.
In this study, I found that it is still a huge gap between commercial bank and western bank in terms of credit risk management infrastructure, or in credit risk measurement methods, therefore it is an important reference of the advanced credit risk measurement and management methods and experience for China's state-owned ICBC's development. After researching the credit risk management system to quantify, we can draw the following conclusions: 1, the existing methods of credit risk measurement in Industrial and Commercial Bank fail to reflect the true credit risks. China's financial institutions should not be limited to qualitative analysis credit risk, and should be carried out on quantitative research. 2, we are lack of the existing database to assess the risks, which include government bonds, corporate bonds, ICBC’s loan default rates of enterprises over the years, the entire industry of financial data and the inter-industry correlation. ICBC is the credit risk of the main obstacles to quantitative research. The establishment of China's banks and the establishment of an internal rating system to quantify the basic database management has become China's ICBC credit risk management imperative. 3, under the Basel II credit risk management theory and application of technology in our country， one of the core issues is the modernization of China's financial risk management. Adopting for a more influential on the international credit risk measurement model in China to do a feasibility analysis of shares of listed companies in China after full circulation, KMV model of China's ICBC has a better credit risk measurement reference. 4, the paper amends the new measurement model of the mainstream of KMV, and apply the credit rating of listed companies in China to analyze financial institutions, and the results of quantitative analysis have a certain reference value. Historically, the stock market price has been ignored in their lending decision-making application, and now the stock market should continue to monitor the company's evaluation.#p#分页标题#e#
Although the new capital adequacy framework has been used in large international active banks for several years, only a small number of Chinese banks have adopted full or part of this practice, and little potential outcomes have been assessed. Basel II is not legally binding to all Chinese banks, however it does matter to international cooperation, fund-raising in financial market and reputation issues. ICBC took the lead to partially implement Basel II in 2004, aiming to become international competitive player. Given the effectiveness of recent reform in Chinese banking industry and strengthened supervision, ICBC has reached remarkable outcome of reducing non-performance loan ratio for five consecutive years. However, the NPLs ratio is still high according to international standard and it still has been underestimated compared to the report of foreign agencies. It is suggested that ICBC should explore continued methodologies by itself besides government capital injection to fill the huge gap and reduce the massive fiscal costs.
Basel Committee stated the fundamental objectives to strengthen the soundness, stability and consistency of international banking system and enhance banks’ efficiency in business operation. They also believe that capital regulation will enhance the equal competitive among internationally active banks. Four main areas were discussed in turn: 1. How does Basel II improve ICBC’s comprehensive risk management framework and build risk management culture? 2. In what ways could ICBC control its major risks? 3. Would the adoption of Basel II enable ICBC to efficiently regulate its capital management? 4. Would the adoption of Basel II enhance information system building and information disclosure?
To address the first question, ICBC has established an enterprise-wide risk management structure based on COSO internal control framework. It refers to an integrated- risk management function through the whole bank, which specified responsibilities of each risk management segment and built a strong risk management culture within the bank. ICBC delivered major effort to build an internal-rating-based (IRB) approach under Basel II requirement. ICBC launched a credit rating optimization system for corporate clients, which is capable of determining the probability of default (PD) and loss ratio for individual non-retail loans, thereby enhancing the accuracy of credit rating results. With this system, ICBC has met the foundational requirements of IRB approach.
In the second part, the major risks face ICBC are credit risk, market risk, operational risk and liquidity risk as claimed by internal officers. ICBC upgraded its loan classification system into 12-grade, and used CM2002 and PCM 2003 system to conduct accurate evaluation of corporate loans and personal loans. ICBC has set high-level of market risk management policies, procedures and centralized control frameworks for key market risk indicators, however, it is ambiguous in describing how limit is specified and no further reporting of the results of VaR stress-testing process. Operational risk management is one of the weakest links in ICBC’s operation, and also in other banks in China, given the considerable number of frauds and illegal activities in the past years. Central bank (PBOC) took a huge step to regulate Anti-Money Laundering by issuing laws and rules. ICBC also has published internal policies complied with PBOC’s rules and recommendations of FATF. The implications of such efforts are expected to see until 2013. ICBC’s liquidity risk management hasn’t been fully proved, given the volatile domestic economic environment. Chinese government has constantly changed its monetary policies such as raising reserve requirements and interest rate. The central bank continues to implement a tightened monetary policy and takes a variety of measures to strengthen the macro-control and liquidity risk management.#p#分页标题#e#
ICBC’s capital regulation has met the requirement under Basel II. The information disclosure process and accounting system are expected also compliance with Basel II 留学生金融学硕士课程作业指导market discipline requirements. ICBC believe that they have the most advanced information technology platform among domestic banks, which consists of Centralized Data Facilities, Research and Development system and the Core Banking System-NOVA. It has functioned well through a multiple level and has facilitated data collection and documentation. A shortage of expertise in China is a crucial handicap. ICBC has entered into strategic agreements with Goldman Sachs Group, Allianz and American Express in different business areas. However, ICBC should explore own ways to facilitate risk management procedure besides cooperating with foreign financial institutions.
|
