基于新巴塞尔资本协议下的我国商业银行内部评级研究

发布时间：2018-02-07 10:18

本文关键词： 内部评级新资本协议风险管理我国商业银行　出处：《吉林财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：自金融业出现，金融风险就与其相伴而生，历经几个世纪，两者始终如影随形，信用风险[1]又是金融风险中最古老与核心的风险。人类进入20世纪后，全球化浪潮风起云涌，随着自由化进程的加快，国际资本在各国间的流动性越来越强、速度越来越快、规模越来越大，金融风险的累积速度不断加快，金融的发展在促进全球经济增长的同时，也给世界各国特别是发展中国家带来了巨大的风险。世界银行对全球金融危机的研究表明，导致银行破产的主要原因多是信用风险。1988年审议通过的巴塞尔协议在实际应用过程中，显露出很多弊端和局限性，向金融监管提出了新的课题。因此，巴塞尔委员会决定对旧的协议进行全方面的修改，经过多次补充和修订，高度重视内部评级法在风险管理和资本监管中的作用，新协议最终于2004年6月定稿，并于2004年12月底正式开始实施。本文通过对新巴赛尔协议及内部评级法的产生、内涵及外延的详细阐述，通过对我国商业银行现阶段内部评级实施工作的进展情况的分析，，论述了我国商业银行现行内部评级体系的不足并提出相关建议。本文共分为六个部分：第一章：绪论。阐述了研究背景及意义，国内外理论研究及应用现状，本文的研究方法和可能的创新点。第二章：我国实施内部评级法的必然性。从监管部门的监管要求和商业银行自身谋求发展的两个角度对其必然性进行了详细阐述。第三章：新巴塞尔协议及其对商业银行的影响。本章详细介绍了《巴塞尔新资本协议》的发展历程和主要内容，以及新协议对商业银行资本的影响。第四章：基于新巴塞尔资本协议的内部评级法。本章对内部评级法的提出与发展、含义、基本思想、框架进行了描述，并将内部评级法与传统评级方法和标准法做了比较。第五章：我国商业银行内部评级体系建设的现状及存在的问题。我国还处在内部评级体系建设的初级阶段，本章详细介绍了我国评级体系的现状和不足。第六章：我国商业银行实施内部评级法的策略与建议。针对我国商业银行内部评级工作在开展中的问题，提出意见和建议。第七章：结论。总结了本文研究的创新点和研究的不足之处，明确了以后的研究方向。
[Abstract]:Since the emergence of the financial industry, financial risk has been accompanied by it. After several centuries, the credit risk is the oldest and core risk in the financial risk. With the acceleration of the liberalization process, international capital is becoming more and more mobile among countries, with the increasing speed and scale, the accumulation rate of financial risk is accelerating, and the development of finance is promoting the global economic growth at the same time. It also poses enormous risks to countries around the world, especially developing countries. Research by the World Bank on the global financial crisis has shown that. The main cause of bank bankruptcy is credit risk. In the practical application of Basel Accord, which was considered and adopted in 1988, many disadvantages and limitations have been revealed, and a new subject has been put forward to financial supervision. The Basel Committee decided to revise the old agreement in all its aspects. After several additions and revisions, the Basel Committee attached great importance to the role of the internal rating system in risk management and capital supervision. The new agreement was finalized on June 2004. It began to be implemented at the end of December 2004. Through the detailed elaboration of the emergence, connotation and extension of the New Basil Agreement and the internal rating method, this paper analyzes the progress of the implementation of the internal rating in China's commercial banks at this stage. This paper discusses the shortcomings of the current internal rating system of Chinese commercial banks and puts forward some relevant suggestions. This paper is divided into six parts:. Chapter one: introduction. The research background and significance, the current situation of theoretical research and application at home and abroad, the research methods and possible innovations of this paper are described. Chapter two: the inevitability of implementing internal rating law in our country, which is explained in detail from the supervision requirements of supervision department and the development of commercial banks themselves. Chapter three: new Basel Accord and its impact on commercial banks. This chapter introduces the development process and main contents of Basel New Capital Accord in detail, as well as the impact of the new agreement on the capital of commercial banks. Chapter 4th: the internal rating method based on the new Basel Capital Accord. This chapter describes the development, meaning, basic idea and framework of the internal rating method, and compares the internal rating method with the traditional rating method and the standard method. Chapter 5th: the present situation and problems of the construction of internal rating system of commercial banks in China. Our country is still in the primary stage of the construction of internal rating system. This chapter introduces in detail the present situation and shortcomings of the rating system in China. Chapter 6th: the strategies and suggestions for the implementation of internal rating law in China's commercial banks. In view of the problems in the development of the internal rating work of commercial banks in China, the paper puts forward some suggestions and suggestions. Chapter 7th: conclusion. The innovation and deficiency of this paper are summarized, and the future research direction is clarified.
【学位授予单位】：吉林财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

【参考文献】