【作者】 王涛；

【导师】 蔡莉；

【作者基本信息】 吉林大学 ， 工商管理， 2005， 硕士

【摘要】 近十年来,国际上信用风险的度量方法和管理方式正进行着一场革命,银行信用风险管理的技术、工具和方法得到了长足的发展。2004 年6 月巴塞尔新资本协议的出台就是信用风险量化管理快速发展的重要标志,它促使国际上各先进商业银行纷纷着手开发或是发展自身的内部信用风险评级体系。随着我国银行业对外开放程度的不断加大,国有独资商业银行的股份制改造,我国商业银行更加需要在信用风险管理这一银行管理中最重要的环节上做到与国际接轨。而目前我国的商业银行在这方面无论从经验上还是技术上都比较落后,在这一领域的研究也刚刚起步。本文研究的目的就是运用巴塞尔新资本协议提出的信用风险内部评级法,借鉴国际上先进的信用风险管理技术,同时结合我国银行信用风险评估现状和特殊性的分析,试图为建设适合我国商业银行的信用风险内部评级体系提供一些具有参考价值的意见、措施。本文共分为五章。第一章绪论对本论文研究的背景、意义及国内外研究现状进行综述,分析了我国商业银行信用风险内部评级建设的必要性和内部评级的作用;第二章论述了发达国家银行业信用风险评级方法与应用现状,阐述了《巴塞尔新资本协议》对信用风险的评价方法及发达国家银行内部信用评级的现状与特点;第三章论述了我国商业银行信用风险评级的现状及存在问题,对我国商业银行信用风险的成因、特殊性、评级现状及主要问题进行了阐述;第四章对我国商业银行信用风险内部评级进行系统设计,在信用风险内部评级的框架设计、模型设计等方面提出建设性意见。第五章对我国商业银行信用风险内部评级的应用提出了发展思路及切实可行的措施,并分析了信用风险内部评级应用中面临的困难及在我国银行经营管理中的具体运用;最后形成结论性意见。更多还原

【Abstract】 Since 80’s,the commercial banks and investors in many countries have had face more credit risks than any other time as the finance globlazation.According to the world bank report about the bank business critisis worldwide , the credit risk is the major factor leading banks to troubles.Especially in our country ,the credit risk is the most crucial problem that the bank business have to face.So we should study The New Basle Capital Accord,and establish the credit risks appraisal system. During the passing decade,the international credit risk measure method and management have been well developed.June 2004,the implemention of The New Basle Capital Accord is the signal of the credit risks rating system.Comparing with the former vision of The New Basle Capital Accordthe new one takes the assets risk factors to the minimum capital request.And the main view point of The New Basle Capital Accord is the Internal Ratings Based Approach (IRB).IRB can be classified as the beginning approach and the advanced Approach.To make the minimum capital demands more fit to the explsure credit risks in banks,is the main goal of the IRB.In IRB , the risk weighting Asset is equal to the EAD multiply the risk weighting.the risk weight is decided by PD , LGD and muture.As the implementing of the new supervision frame,many new theory on the risk supervision have been developed in The New Basle Capital Accord.In a short,to meauser the credit risks with the new IRB is another revolution of the global bank business.It is worth of studing deeply. With the development of the openness of the banks in our country and the publication of state-owned commercial banks,the commercial banks of our country need to catch up with the international advanced banks on the credit risks management.The internal rating system has not been established in the commercial banks of our banks yet.We used “yi yu liang dai”system quite a long time.Even the “five-degree classification”system is far from enough,compare with the IRB in The New Basle Capital Accord. The New Basle Capital Accord is considered as the“game rules”among the worldwide banking buiness.It’s very influence not only to the banking business in the “ten-nation group”but also to the ones in other countries.It helps to make the Banking business competing openly and equally worldwide.So,if we want to participate the competition among the banking business world widely,we have to obey the general-accepted “game rules”.Thus,the emergencial work we have to do now is the establish our own credit risks internal rating system after the joining of the WTO. Credit risks rating can be used to show the quality of assests or credit loans.That is to say it can reflect the possible loss of the credit loans directly or indirectly.However,to big commercial banks,credit rating is not only a relative degree,but also a reflection of the PD and the loss rate of the credit loans.At the same time,credit rating can reflect both the current credit rate and the future loss rate of the credit loans.The credit risk internal rating system will play a more and more important role in the modern commercial banks,especially in the large banks or muti-nation banks.It is multi-function in the bank management.It can be used in the approval of the loans,on the other side it can be used to supervise the assets combination.Classify the capital, price the assets,analyze the revenue,and combination the preparation of the loss.Of course , a more sound rating system is needed for the latter fuctions.An excellent internal rating could held banks to control the credit risks and provide a balance point between the profits and risks,provide the manager the whole assessment of the whole assests combination. From the current status,the credit risk rating in our country,has a long way to go to catch the advanced ones in the developed countries.This restricts the internal rating’s functions to show and control the credit risks.更多还原