商业银行内部评级管理系统的设计与实现

发布时间：2018-02-28 21:21

本文关键词： 商业银行内部评级违约概率违约损失率系统测试　出处：《湖南大学》2015年硕士论文　论文类型：学位论文

【摘要】：随着巴塞尔新资本协议对商业银行风险管理整体思路和方法论的总结与规范,全球银行业在风险评估技术领域有了很大的突破与创新。在面对巴塞尔新资本协议与内部评级法视的冲击下,成功的商业银行不会将其视作障碍,反而视为机遇。根据国外商业银行先进经验,如果对内部评级法的实施过程处理适宜,就能为自身带来诸多积极有益的变化,将促进商业银行自身的总体IT架构、各项业务流程、系统数据管理、业务交易模式和数据分析平台地极大提升,进一步加强自身的风险控制能力和商业洞察能力。本文通过对内部评级系统的设计和开发,实现了电子化的评级流程,所有评级流程中的信息均有记录,极大提高效率。同时通过内部评级系统获得最终的评级结果,可用于支持营销、信贷审批、风险定价、组合管理、贷后风险管理、准备金计提——EL、经济资本分配——UL以及监管资本充足率等诸多方面。本文的主要工作包括:(1)内部评级系统的需求分析。首先,对商业银行内部评级系统的现状和问题进行分析,提出了内部评级管理系统的总体设计思路。接着,从内部评级的数据要求、数据移植需求和内部评级的技术要求三个层面对系统进行技术需求分析,同时从客户管理、评级管理、违约管理、损失数据管理、风险暴露和缓释管理、统计报表、模型管理和系统管理进行了系统功能模块分析。(2)完成了内部评级管理系统的设计。基于上文的技术需求分析和系统功能模块分析,主要从用户登录模块、客户管理模块、评级管理模块、违约管理模块、损失数据管理模块、风险暴露和缓释管理、统计报表和模型管理模块和系统管理模块八个方面进行内部评级管理系统的设计。(3)实现了内部评级管理系统。介绍了整个系统部分主要性功能的实现,并从数据挖掘过程的实现、数据清洗过程的实现、内部评级体系的构建以及内部评级的测算过程四个层面完成了内部评级模型的实现过程,最后从相关数据的收集、数据的预处理、测试实现和解释三个方面完成了系统测试。
[Abstract]:With the conclusion and standardization of the overall thinking and methodology of risk management in commercial banks under the new Basel Capital Accord, The global banking industry has made great breakthroughs and innovations in the field of risk assessment technology. In the face of the new Basel Capital Accord and the impact of the internal rating approach, successful commercial banks will not regard it as an obstacle. According to the advanced experience of foreign commercial banks, if the implementation process of internal rating law is appropriate, it will bring many positive and beneficial changes to itself, and will promote the overall IT structure of commercial banks. Various business processes, systems data management, business transaction patterns and data analysis platforms have been greatly enhanced to further enhance their own risk control and business insight. The electronic rating process is implemented, all the information in the rating process is recorded, and the efficiency is greatly improved. At the same time, the final rating results are obtained through the internal rating system, which can be used to support marketing, credit approval, risk pricing, portfolio management. After-loan risk management, reserve provision ELL, economic capital allocation UL and regulatory capital adequacy ratio, etc. The main work of this paper includes the requirement analysis of the internal rating system. This paper analyzes the present situation and problems of the internal rating system of commercial banks, and puts forward the overall design idea of the internal rating management system. The technical requirements of data transplantation and internal rating are analyzed from three aspects: customer management, rating management, default management, loss data management, risk exposure and slow-release management, statistical report. Model management and system management system function module analysis. 2) completed the design of internal rating management system. Based on the above technical requirements analysis and system function module analysis, mainly from the user login module, customer management module, Rating management module, default management module, loss data management module, risk exposure and release management, The design of internal rating management system is carried out in eight aspects of statistical report and model management module and system management module. The internal rating management system is implemented. The main functions of the whole system are introduced. And from the realization of data mining process, data cleaning process, the construction of internal rating system and the calculation process of internal rating, the implementation process of internal rating model is completed. Finally, the collection of relevant data is carried out. Data preprocessing, test implementation and interpretation of the system completed the three aspects of the test.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：TP311.52

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