中国银行湖南省分行客户信用风险内部评级体系研究

发布时间：2018-05-18 14:43

本文选题：信用风险管理 + 内部评级体系　；参考：《湖南大学》2012年硕士论文

【摘要】：从国际和国内银行发展的动态判断,构建基于内部评级法为基础的商业银行评级体系已成为大势所趋。建立商业银行内部评级体系,不仅可以识别风险、量化风险、进行风险监控、进行风险业务定价、提高决策透明度、降低业务决策成本,还可以在计提贷款损失准备、资本充足管理、分配经济资本、盈利分析和预测、激励机制等众多方面发挥重要作用。虽然巴塞尔新资本协议已为各国商业银行内部评级体系的构建提供了指导,但是,在实施过程中我国商业银行与国外银行不同,由于缺乏充足的基础数据,无论是违约概率测算还是风险要素量化都需要一个长期而艰难的过程。本文从分析评级方法、评级模型、内部评级体系相关理论以及国内外研究情况着手,以中国银行湖南分行内部评级体系作为研究对象,重点针对银行内部信用风险进行研究。根据我国银行业内部评级体系发展现状、趋势和要求,从评级方法和评价内容两个方面详细分析了中国银行湖南分行信用风险内部评级体系的现状。然后介绍了中国银行按照新巴塞尔协议内部评级法的要求,以PD模型为基本的公司客户信用风险度量模型,构建内部评级体系的情况,通过运用实证研究的方法论证了内部评级体系建设成果,并对目前发展状况指出了几方面的问题。最后针对存在的问题及其对企业信用可能产生的不利影响,规划了未来中国银行湖南分行内部评级体系构建整体框架和下一步实施二维评级体系的具体建议,并提出了如何完善信用风险量化制度、量化体系和评定流程,实施高效率内部评级系统的措施,以期为其它商业银行内部评级体系的发展和完善提供有益参考。
[Abstract]:Judging from the development of international and domestic banks, it has become a general trend to construct a commercial bank rating system based on internal rating method. The establishment of an internal rating system for commercial banks can not only identify risks, quantify risks, carry out risk monitoring, carry out risk business pricing, improve decision-making transparency, reduce business decision-making costs, but also make provision for loan losses. Capital adequacy management, distribution of economic capital, profit analysis and prediction, incentive mechanism and many other aspects play an important role. Although the Basel New Capital Accord has provided guidance for the construction of internal rating system of commercial banks in various countries, in the process of implementation, our commercial banks are different from foreign banks because of the lack of sufficient basic data. Both the probability of default and the quantification of risk factors need a long and difficult process. This paper starts from the analysis of the rating method, rating model, internal rating system theory and domestic and foreign research situation, taking the internal rating system of Bank of China Hunan Branch as the research object, focusing on the internal credit risk of the bank. According to the present situation, trend and requirements of the internal rating system in China's banking industry, the present situation of the internal credit risk rating system of Hunan Branch of Bank of China is analyzed in detail from two aspects: the rating method and the evaluation content. Then, the paper introduces the internal rating system of Bank of China in accordance with the requirements of the New Basel Accord internal rating method, taking the PD model as the basic corporate customer credit risk measurement model. By using the method of empirical research, this paper demonstrates the achievements of internal rating system construction, and points out several problems in the present development situation. Finally, in view of the existing problems and the possible adverse impact on enterprise credit, the paper plans the future internal rating system of Bank of China Hunan Branch to build the overall framework and the next implementation of the two-dimensional rating system specific recommendations. How to perfect the credit risk quantification system, the quantitative system and the evaluation process, and how to implement the high efficiency internal rating system are put forward in order to provide a useful reference for the development and perfection of the internal rating system of other commercial banks.
【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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