论《巴塞尔新资本协议》内部评级法对我国商业银行风险管理的影响

发布时间：2019-02-13 05:01

【摘要】：巴塞尔新资本协议作为一个全新的监管资本管理框架,最主要的创新之一就是提出了计算信用风险监管资本要求的内部评级法。内部评级法要求银行在满足监管当局某些最低条件的前提下,首先将银行业务分为具有不同潜在风险特征的敞口类别,然后运用自己的内部评级体系及风险管理模型对特定敞口的风险要素进行评估,评估的内容包括违约概率、违约损失率、期限和违约风险敞口,再将风险要素的评估值输入由巴塞尔委员会提供的风险权重函数,最后计算出监管资本要求。内部评级法旨在通过风险敏感度更高的监管资本要求影响银行的行为,促使银行强化风险管理能力,从而增强整个银行体系安全性与稳定性。在设计内部评级法的过程中,巴塞尔委员会借鉴了国际银行业近年来开发出的多种现代信用风险管理模型,在对信用风险的处理上采用了相同的基本思想,即运用VaR来确定监管资本要求和在资产组合层面上处理信用风险,并且在风险权重函数和期限调整因子的确定、风险集中度的调整以及风险要素的估计等方面广泛的运用了这些模型。同时,内部评级法自身也还存在着一些问题有待解决,主要包括内部评级法的复杂性、对银行实际资本持有量的影响、双重框架对银行体系稳定性的影响以及强化亲周期性效应四个方面。银行业是一个高风险的行业,对风险的评估和管理是银行核心竞争力所在,作为对国际银行业在风险管理方面先进经验的总结,内部评级法为我国银行业就如何加强风险管理提供了指引和思路。通过内部评级法,我国商业银行可以了解国际先进银行的风险管理思想和技术,有助于推动我国银行业转换经营理念、强化风险管理意识。并可以结合我国现实情况,直接借鉴巴塞尔委员会有关实施内部评级法的要求,逐步构建和完善自己的内部评级体系,开发适合我国金融环境的风险管理模型,从而节约时间和资源,实现我国银行业跨越式的发展。
[Abstract]:As a new regulatory capital management framework, Basel New Capital Accord has put forward an internal rating method to calculate the capital requirements of credit risk supervision. The internal rating law requires banks to classify their banking operations into different types of exposure with different potential risk characteristics, subject to certain minimum conditions being met by regulators. Then using their own internal rating system and risk management model to evaluate the risk factors of a specific exposure, including default probability, default loss rate, duration and default risk exposure, Then the evaluation value of risk elements is input into the risk weight function provided by the Basel Committee, and finally the regulatory capital requirements are calculated. The internal rating approach aims to influence banks' behaviour through more risk-sensitive regulatory capital requirements, and to strengthen banks' ability to manage risks, thereby enhancing the security and stability of the banking system as a whole. In the process of designing the internal rating method, the Basel Committee used various modern credit risk management models developed by the international banking industry in recent years, and adopted the same basic idea in dealing with the credit risk. That is to use VaR to determine the regulatory capital requirements and deal with credit risk at the level of portfolio, and to determine the risk weighting function and term adjustment factor. These models are widely used in the adjustment of risk concentration and the estimation of risk factors. At the same time, the internal rating method itself also has some problems to be solved, mainly including the complexity of the internal rating method, the impact on the bank's actual capital holdings. The influence of dual frame on the stability of banking system and the enhancement of pro-cyclical effect are discussed. The banking industry is a high-risk industry, the assessment and management of risk is the core competitiveness of banks, as a summary of the advanced experience of international banking in risk management. Internal rating method provides guidance and train of thought for Chinese banking on how to strengthen risk management. Through the internal rating method, the commercial banks of our country can understand the thought and technology of risk management of the international advanced banks, which is helpful to promote the transformation of the management idea and strengthen the consciousness of risk management in our country's banking industry. Combined with the reality of our country, we can draw lessons from the requirements of the Basel Committee on the implementation of internal rating law, build and perfect our own internal rating system step by step, and develop a risk management model suitable for the financial environment of our country. Thus saves time and resources, realizes our country banking leaps and bounds the development.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F830.2

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