【摘要】 巴塞尔新资本协议的发布促使各国银行加紧了信用风险度量模型的研究和开发,以实施内部评级法(IRB),这使得模型验证的重要性日益提升。但信用风险度量模型验证至今未形成完整的框架体系,同时面临着数据不足的限制。针对这两个主要问题,在总结国际银行实践经验和研究成果的基础上,建立了模型验证的理论框架,提出了克服数据不足的取样技术,并对几种常见的验证工具进行了分析,最后,为国内银行界实行验证体系提出了一些建议。更多还原

【Abstract】 With the issue of new Basel capital accord,the banking all of the world began to pay more attention to research and develop new credit risk models to implement the IRB approach.(Internal rating-based approach).This makes the validation of these models getting more and more important.However,some issues remain to be resolved.One of them is to build a complete framework of model validation.The other is data limit.This paper summarizes the experiences of international banks and related researches and attempts to build a theoretical framework of validation.Then it brings out a sample technology to overcome the data limit.Finally,this paper analyzes some common validation tools and makes some suggestions for Chinese banks.更多还原