构建银行客户信用风险内部评级系统的研究

发布时间：2018-09-16 21:55

【摘要】：自我国改革开放以来,国际银行风险管理的理念、方法不断涌入,推动了国内银行加快改革和发展的步伐,使国内银行风险管理得到了极高的重视和加强,并逐步缩小了与国际先进银行的差距。信用风险评级在信息资源整合、信用风险度量与监控预警、金融产品定价等方面发挥着重要的作用。风险管理的核心基础就是风险度量,国内银行亟需加快研究与实施客户信用风险内部评级系统,建议可靠的信用风险管理基础,提高国内银行与国际先进银行同台竞技的风险管理能力。可以说,提高信用风险管理水平是提高我国银行业银行资产质量的根本措施和当务之急,而信用风险内部评级则是新资本协议下信用风险管理的重中之重。我国金融业已全面对外资银行开放,目前直接面临拥有先进管理技术的外资银行的竞争压力和迈向现代化、全球化的战略要求。作为实施风险量化管理的前提条件,必须尽快建立起适合我国银行业特点的客户信用风险内部评级体系。本文结合工作实际,旨在研究一个跨学科的领域,结合金融、管理的理论基础,通过IT等技术手段,实现构建银行客户信用风险内部评级系统的研究与实现,以此达到信用评级领先于其他评级机构,评级结果更加稳定、可靠,评级流程更加完善,能够符合监管部门更严格的要求的目的。本文首先介绍了论文的研究背景和实践意义,然后调研银行客户信用评级的现状和问题,对国内银行业客户信用风险内部评级理论进行了综述。接着从客户信用风险内部评级系统实务的角度,对一些相关技术进行了阐述。接着文章着手进行评级系统的需求分析,包括数据需求和业务需求分析,在分析完成后进行了系统的详细设计,紧接着对评级系统的实现进行了介绍,并对系统的应用进行了相关的跟踪报道,文章最后对研究工作进行了总结,并对进一步的研究工作提出相关建议。
[Abstract]:Since China's reform and opening up, the concept and methods of international banking risk management have been constantly pouring in, which has accelerated the pace of reform and development of domestic banks, and made the risk management of domestic banks highly valued and strengthened. And gradually narrowed the gap with the international advanced banks. Credit risk rating plays an important role in information resource integration, credit risk measurement and monitoring and warning, financial product pricing and so on. The core foundation of risk management is risk measurement. It is urgent for domestic banks to study and implement the internal rating system of customer credit risk and suggest a reliable basis for credit risk management. Improve the risk management ability of domestic banks and international advanced banks. It can be said that improving the level of credit risk management is the fundamental measure and urgent matter to improve the quality of banking assets in China, and the internal rating of credit risk is the most important part of credit risk management under the new capital agreement. China's financial industry has been fully open to foreign banks. At present, it is facing the competitive pressure of foreign banks with advanced management technology and the strategic requirements of modernization and globalization. As a prerequisite for implementing risk quantification management, it is necessary to establish an internal rating system of customer credit risk suitable for the characteristics of China's banking industry as soon as possible. This paper aims at studying an interdisciplinary field, combining the theoretical basis of finance and management, and realizing the research and realization of the internal rating system of bank customer credit risk through IT and other technical means. In this way, the credit rating is ahead of other rating agencies, the results are more stable, reliable, the rating process is more perfect, and can meet the regulatory requirements more stringent purposes. This paper first introduces the research background and practical significance of the paper, then investigates the current situation and problems of bank customer credit rating, and summarizes the internal rating theory of domestic banking customer credit risk. Then, from the perspective of internal rating system of customer credit risk, some related technologies are expounded. Then the paper begins to analyze the requirements of the rating system, including data requirements and business requirements analysis. After the analysis is completed, the detailed design of the system is carried out, and then the implementation of the rating system is introduced. The application of the system is followed up. Finally, the research work is summarized, and some suggestions for further research are put forward.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：TP311.52;F832.2

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