中国工商银行湖南分行新巴塞尔协议内部评级法应用研究

发布时间：2018-04-18 14:49

本文选题：内部评级法 + 新巴塞尔协议　；参考：《湖南大学》2012年硕士论文

【摘要】：新巴塞尔协议推荐的内部评级法既是对商业银行的传统风险管理技术的重要变革，也为它们提高风险管理计量技术、健全风险管理框架体系提供了重要指导。本文首先阐述内部评级法的内容和实施要求，以及包括违约概率PD、违约损失率LGD、预期损失EL、非预期损失UL等在内的内部评级模型建立的主要核心技术，并说明湖南省工商银行目前采用的评级方法；其次对湖南省工商银行评级体系的现状进行描述，并以湖南公路公司客户为例，详细说明内部评级模型在湖南工行的应用情况，对湖南公路公司单笔债项进行分析，得出运用内部评级模型判别客户能否获得贷款及贷后管理、风险预测的结论；最后从实施保障和实施效果两方面论述内部评级法在授信审批、贷款定价、信贷决策、政策制定、确定经济资本EC、依据RAROC考核、确定最低资本报酬率等多方面管理中的作用。湖南省工商银行内部评级体系处于建立初期，实际应用中还面临许多困难。有效利用内部评级法，结合国际大银行的先进经验和科学方法，，完善自身内部评级，实现符合新巴塞尔协议关于风险管理的技术要求，提高信用风险的管理水平是未来湖南省工商银行最重要的任务。
[Abstract]:The internal rating method recommended by the New Basel Accord is not only an important change in the traditional risk management technology of commercial banks, but also provides important guidance for them to improve the risk management measurement technology and improve the risk management framework system.This paper first describes the content and implementation requirements of internal rating method, as well as the main core techniques of establishing internal rating model, including default probability PDD, default loss rate LGD, expected loss ELL, unexpected loss UL, etc.It also explains the current rating methods used by the Industrial and Commercial Bank of Hunan Province. Secondly, it describes the current situation of the rating system of the Industrial and Commercial Bank of Hunan Province, and takes the customers of Hunan Highway Company as an example to explain the application of the internal rating model in Hunan Industrial and Commercial Bank of China in detail.Based on the analysis of the single debt of Hunan Highway Company, the conclusion is drawn that the internal rating model is used to judge whether the customer can obtain the loan, the management after the loan, and the risk forecast.Finally, this paper discusses the functions of internal rating law in credit approval, loan pricing, credit decision, policy making, determination of economic capital, assessment of RAROC and determination of minimum rate of return on capital.The internal rating system of Industrial and Commercial Bank of Hunan Province is in the early stage of establishment, but it still faces many difficulties in practical application.Using the internal rating method effectively, combining the advanced experience and scientific method of the big international banks, perfecting their own internal rating, realizing the technical requirements of risk management in accordance with the New Basel Accord,Improving the management level of credit risk is the most important task of Hunan Industrial and Commercial Bank in the future.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

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