我国商业银行内部信用评级问题研究

发布时间：2018-04-13 02:39

本文选题：巴塞尔新资本协议 + 内部评级法　；参考：《天津财经大学》2013年硕士论文

【摘要】：信用风险一直是商业银行所面临的最主要的风险形式,世界银行对全球银行业危机的研究表明,导致银行破产的主要原因是信用风险,信用风险管理是关系到商业银行生死存亡的大事。巴塞尔新资本协议提出的银行监管体系新框架延续了1988年巴塞尔协议中以资本充足率为核心、以信用风险控制为重点的监管思路,但同时认为仅通过资本规定无法实现银行的安全运营,强调只有通过最低资本要求、监管当局的监管检查和市场约束互为补充且互相协调配合,才能使金融体系更有效更稳健。内部评级法是巴塞尔新资本协议的核心和主要创新之一,它激励银行自主研究风险的测量和管理方法,把银行对重大风险要素的内部估计值作为计算资本的主要参数,既强化了银行进行风险管理和建立内控机制的责任,也增加了银行风险管理手段的灵活性,从而将提高银行的核心竞争力水平,将成为银行风险管理和资本监管的主流模式。随着我国金融市场进一步开放,我国商业银行在走向国际市场进程中面临的最大挑战就是信用风险管理。2003年中国银监会宣布,巴塞尔新资本协议在我国商业银行的实施将采取“两步走”和“双轨制”的策略。如何在实践中不断深入研究并实施巴赛尔新资本协议,开发与新协议一致并且适合自身特征的内部评级体系,改进风险计量手段,全面提升风险管理能力,增强我国商业银行的国际竞争力,促进银行体系稳健运行和可持续发展,具有重要的现实意义。文章介绍了内部评级法的基本框架及其在信用风险度量中的应用,分析了我国商业银行信用风险管理现状和现行内部评级体系与巴塞尔新资本协议标准之间的差距,通过借鉴欧美先进国家在实施内部评级法时的先进经验,对我国商业银行内部评级体系的构建提出了建议,这些建议包括加强我国商业银行整体信用风险管理、积累内部数据,优化指标的权重分配、提高对现金流的分析的重视、积极调整评级观点、强化贷款风险五级分类制度等。
[Abstract]:Credit risk has always been the most important form of risk faced by commercial banks. The World Bank's research on the global banking crisis shows that the main cause of bank bankruptcy is credit risk.Credit risk management is related to the survival of commercial banks.The new framework of the banking supervision system put forward by the Basel New Capital Accord continues the regulatory thinking of the Basel Accord in 1988, in which capital adequacy ratio is the core and credit risk control is the focus.At the same time, the bank can not operate safely through capital regulations alone, stressing that only through minimum capital requirements, regulatory supervision and market constraints complement each other and coordinate with each other, can the financial system be more effective and robust.The internal rating method is one of the core and main innovations of the Basel New Capital Accord. It encourages banks to independently study the risk measurement and management methods, taking the internal estimates of major risk factors as the main parameters of capital calculation.It not only strengthens the responsibility of bank risk management and establishment of internal control mechanism, but also increases the flexibility of bank risk management means, which will improve the core competitiveness of banks and become the mainstream mode of bank risk management and capital supervision.With the further opening of China's financial market, the biggest challenge faced by Chinese commercial banks in the process of moving towards the international market is credit risk management. In 2003, the China Banking Regulatory Commission announced thatThe implementation of Basel New Capital Accord in China's commercial banks will adopt the strategy of "two steps" and "double track system".How to study and implement Bassel's new capital agreement in practice, develop the internal rating system consistent with the new agreement and adapt to its own characteristics, improve the risk measurement means, and improve the risk management ability.It is of great practical significance to strengthen the international competitiveness of Chinese commercial banks and to promote the steady operation and sustainable development of the banking system.This paper introduces the basic framework of internal rating method and its application in credit risk measurement, analyzes the present situation of credit risk management of commercial banks in China and the gap between the current internal rating system and the Basel New Capital Accord standard.By drawing lessons from the advanced experience of European and American advanced countries in implementing the internal rating method, this paper puts forward some suggestions for the construction of the internal rating system of our commercial banks. These suggestions include strengthening the overall credit risk management of our commercial banks and accumulating internal data.We should optimize the weight distribution of the index, pay more attention to the analysis of cash flow, adjust the viewpoint of rating actively, and strengthen the five-level classification system of loan risk, etc.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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