内容摘要

财务风险是指财务成果的风险和财务状况的风险。商业银行财务风险是指商业银行财务结构不合理、融资方式不当而引起投资者预期收益下降的风险,包括由流动性风险、资本管理风险、资产质量风险、市场风险和表外风险等等。其中,资产质量风险是由贷款违约引起的财务风险,作为文章研究的重点。有效地识别、评估和管理贷款违约引起的财务风险对商业银行十分重要,但是我国商业银行使用的评估模型和五级贷款分类的管理方法远远落后于国际水平。财务风险管理方面,巴塞尔委员会要求使用内部评级法,而我国使用简单笼统的五级贷款分类法;国际会计准则理事会提出采用预期损失模型预计贷款减值,我国准则仍然使用未来现金流量法。财务风险披露方面,由于准则规定的不完善给银行盈余管理留下空间,对信息使用者产生误导。

关键词:财务风险；神经网络法；内部评级法；预期损失模型

Abstract

Financial risk is the risk that the financial results of risk and financial condition. Commercial bank financial risk refers to the financial structure of commercial banks is not reasonable, financing caused by improper risk investors expect a decline in yields, including liquidity risk, capital risk, asset quality risk, market risk and external risk etc.. Among them, asset quality risk is the financial risk of loan default, which is the focus of this paper. To effectively identify, assess and manage the financial risk of loan default is very important for the commercial banks, but the management method for the assessment of China’s commercial banks use the classification model and the five category loan is far behind the international level. Financial risk management, Basel committee requires the use of the internal ratings based approach, and our use of the five category loan classification method is simple; the international accounting standards board proposed the expected loss model of loan impairment, Chinese standards still use the future cash flow method. The disclosure of the financial risk, because of the imperfect standards leave space for bank earnings management, misleading information to users.

Keywords: financial risk; neural network; internal rating; expected loss model