【作者】 陈硕；

【导师】 曹晟； 车春雷；

【作者基本信息】 电子科技大学 ， 软件工程（专业学位）， 2013， 硕士

【摘要】 风险加权资产（RWA）计算系统是中国银行业实施巴塞尔协议的重要组成部分，具有非常重要的作用。信用风险加权资产的计算是整个计算体系的核心，其计算要求尤为复杂，需要考虑不同种类的信用风险敞口，不同类型的信用风险评级模型，多个IT系统提供的大量数据，复杂的数据进行计算（复杂的计算规则和海量的数据计算处理）等。在中国商业银行业，信用风险加权资产占整个银行风险加权资产（含信用、市场和操作风险）的85%左右。本论文正是针对上述问题，以国内某商业银行的信用风险RWA计算系统的设计和实现为主要研究对象，在深入分析巴塞尔新资本协议、中国银监会新协议实施指引的基础上，对业务需求和数据需求进行了详尽的分析，在对数据整合理论和技术、数据建模（DM）理论和技术、业务规则引擎管理理论、商业智能技术应用分析基础上，最终为该商业银行构建完成了信用风险加权资产计算和报表系统系统。主要内容为：1．简要分析实施新资本协议信用风险计算的背景和意义。2．以零售风险加权资产计算为例，从零售风险资产认定、计算规则、参数设定等方面对计算需求，以及数据质量、报表和审计等其他需求进行了分析，并在此基础上简要说明了满足这些需求需要的信息系统和数据内容，提炼出详细的数据需求。3．系统架构采用了数据接口层，应用加工层和展现层三个功能分层来实现RWA系统的各项功能功能，其中将数据分为DM1-DM4四层，以满足数据质量、数据审计和计算、报表功能。整个系统依托该商业银行的Teradata数据仓库和RIDE报表集成环境，各类计算和数据质量检查都用Java语言和SQL语言实现，并且部署在Weblogic应用服务器上，用户通过浏览器来完成系统的管理和应用维护和使用。更多还原

【Abstract】 Risk-weighted assets (RWA) calculation system is a important component inChina’s banking implementation of Basel capital agreement, has the very importantrole. Credit risk-weighted assets calculation is the core component of the whole systemof calculation, its calculation processes is complicated, needed to consider differentkinds of credit risk exposure, to base on different types of credit risk rating model, touse many IT source system providing a large number of data, to calculate complex data(complex calculation rules and mass data calculation processing), etc. In China’scommercial Banks, the proportion of credit risk-weighted assets is about85%in.thewhole bank risk-weighted assets (including credit, market and operation risk).This thesis is in view of the above questions, with a domestic commercial bankcredit risk RWA calculation of designing and realizing the system as the main researchobject, in the thorough analysis new Basel capital agreement, China banking regulatorycommission (CBRC) publish a new protocol implementation guidelines on the basis ofthe business requirements and data requirements for a detailed analysis and in the dataintegration theory and technology, data modeling (DM) theory and technology, businessrules engine management theory, business intelligence technology based on the analysisof the application, and finally for the commercial bank building completed the creditrisk weighted assets calculation and report system. Main content:1． Brief analysis of the implementation of the new capital agreement credit riskcalculation of the background and significance.2．In retail risk-weighted assets calculated as an example, the retail risk assetsdetermination, calculation rules, the parameter setting of calculation requirements, aswell as data quality, report forms and auditing and other requirements are analyzed, andon the basis of the brief description to meet these requirements of information systemand the data content, refining out detailed data needs.3．The system architecture adopted data interface layer, application processinglayer and show layer three functional stratification to realize each function of RWAsystem function, the data is divided into four layers DM1-DM4, in order to meet thedata quality, data auditing and calculation, statement function. The whole system basedon the commercial bank Teradata data warehouse and RIDE report integrated environment, all kinds of calculation and data quality inspection with Java language andSQL language realization, and deployed in Weblogic application server, the userthrough the browser to complete the system management and application maintenanceand use.更多还原