我国商业银行内部评级法的应用研究

发布时间：2018-03-17 05:31

本文选题：内部评级法　切入点：内部评级体系　出处：《天津商业大学》2014年硕士论文　论文类型：学位论文

【摘要】：在现代商业银行的风险管理体系中，信用风险管理是最重要的内容，也是保障商业银行能够稳定发展的关键因素。随着金融业的发展和金融体系的不断完善，世界各国对信用风险的度量与控制问题越来越重视。巴塞尔委员会自成立以来，所做出的一系列银行业监管规定在实践中得到了验证，其科学性、合理性和可操作性已被世界各国所认可。《巴塞尔新资本协议》中的内部评级法，提出了商业银行信用风险管理的方向，世界各国商业银行都积极参与到内部评级体系的建设上来。自中国加入巴塞尔委员会以来，积极推行和实施协议内容。对中国商业银行来说，实施内部评级法不仅是提高自身风险管理水平的有效途径，更是提高国际竞争力的重要手段。本文在阐述巴塞尔协议第I、II、III版中对信用风险管理和资本监管方面的演变的基础上，对内部评级法的相关概念、基本框架及要求进行论述；从商业银行经营发展战略角度，对我国商业银行实施内部评级法进行了SWOT分析；在借鉴国外商业银行的实施经验基础上，结合我国商业银行内部评级的现状和面临的难题，提出我国商业银行实施内部评级法的策略。全文共分为六章。第一章对本论文的研究背景和意义、国内外相关的文献研究进行综述，并对研究此项课题的意义进行评述，探讨了本文的研究方法和思路。第二章对《巴塞尔新资本协议》的演变过程进行解读，分析了协议在信用风险管理和资本监管方面的要求转变的原因，重点介绍了内部评级法的相关概念、基本框架、基本要求、风险要素的度量以及发展趋势。第三章对商业银行实施内部评级法进行了SWOT分析。从商业银行企业战略的发展角度，强调了内部评级体系建设的重要性。对商业银行内外部的环境进行分析和讨论，构造出SWOT矩阵，并得出分析结论，建立SWOT矩阵分析模型，为商业银行如何利用企业内外资源来发展和完善内部评级体系提供战略参考。第四章以花旗银行、汇丰银行和日本富士银行为代表，对国外商业银行内部评级体系的建立进行阐述，分析他们在体系构建上的优势，以及我们可以学习之处。第五章从差距上分析了我国商业银行实施内部评级法的现状，首先对我国商业银行实施内部评级法的总体情况进行了概括，从非零售和零售两方面进行阐述。然后从微观和宏观两个方面说明我国商业银行实施内部评级法所面临的难题。第六章提供了我国商业银行内部评级法实施策略上的思考。首先，论述了我国商业银行实施内部评级法的战略意义，从银行业发展、企业发展以及国际竞争的角度，说明了内部评级法在信用风险管理中的重要性。其次，从技术和制度上提出如何对现有的体系结构进行改进；第三，从数据的收集、清洗和整合以及数据挖掘方面阐述如何对基础数据库进行建设；第四，论述了商业银行内部评级体系的研究和开发工作，包括内部评级体系的可持续发展、企业的信用文化建设以及定量和定性评价相结合等。第五，讨论了如何研究和开发适合我国商业银行实际情况的风险计量模型；第六，从现有的人员培训到专业人才的引进再到人文关怀的角度，阐述商业银行应如何进行专业化队伍的建设；最后，对监管当局提出监管建议，包括政策上的引导，，技术上的示范、资源上的整合、平衡发展以及法律制度的完善等方面来进行论述。
[Abstract]:In the modern commercial bank risk management system, credit risk management is the most important content, but also to protect the commercial banks to the key factor in the steady development. With the development of the financial industry and the continuous improvement of financial system, the world of credit risk measurement and control problem more and more attention. Since the establishment of the Basel Committee, a a series of banking regulation made has been verified in practice, its scientific nature, rationality and operability has been approved by the IRB world. The new Basel Capital Accord >, proposed the credit risk management of commercial banks, commercial banks around the world are actively involved in the construction of internal rating system up. Since Chinese joined the Basel Committee, and actively promote the implementation of the agreement. The commercial bank China, implementation of the IRB approach is not only to improve The effective way of the risk management level is an important means to improve the international competitiveness.
In this paper the Basel protocol I, II, based on the evolution of credit risk management and regulatory capital in version III, the related concept of the internal rating method, the basic framework and requirements were discussed; from the perspective of development strategy of commercial banks, the Commercial Bank of our country implement the internal rating method for SWOT analysis drawing on the experience of implementing; foreign commercial banks, the problem with the status quo of internal rating of commercial banks in China and faces, proposed that our country commercial bank IRB strategy.
This paper is divided into six chapters. The first chapter of this paper, the research background and significance, domestic and foreign related literature were reviewed, and the significance of this research project are reviewed, discussed the methods and ideas of the research. The second chapter on the evolution of "Basel new capital agreement > the process of interpretation, analysis the reason for the change of protocol requirements in the credit risk management and regulatory capital, introduces the related concepts, the IRB framework, basic requirements, measure the risk factors and the trend of development. The third chapter makes SWOT analysis on the implementation of commercial bank's internal rating method. From the perspective of enterprise development strategy of commercial banks. Stressed the importance of building the internal rating system of commercial banks. The internal and external environment are analyzed and discussed, construct SWOT matrix, and draws the conclusion, the establishment of the SWOT matrix analysis model for commercial bank How to use the internal and external resources to develop and improve the internal rating system to provide strategic reference. In the fourth chapter, Citibank, HSBC and Fuji as the representative of the Bank of Japan, the establishment of the internal rating system of foreign commercial banks is expounded, analyzed their advantages in the system, and we can learn from. The fifth chapter analyzes the current situation of China's commercial the bank internal rating from the gap, the first of China's commercial banks to implement the IRB overall situation were summarized, analyzed from two aspects of non retail and retail. Then explains the problem of China's commercial banks to implement the IRB faced two from the micro and macro aspects. The sixth chapter provides our country commercial bank IRB reflections on the implementation strategy. Firstly, discusses the strategic significance of China's commercial banks to implement internal rating system, from the banking industry The development, enterprise development and international competition perspective, illustrates the importance of the internal rating method in credit risk management. Secondly, from the technology and the system proposed how to improve existing system structure; third, from data collection, cleaning and integration and data mining describes how to carry out the construction of basic database; fourth and discusses the research and development of the internal rating system of commercial bank, including the internal rating system of sustainable development, the construction of credit culture enterprises and the combination of quantitative and qualitative evaluation. Fifth, discusses how to research and develop the suitable risk measurement model of the actual situation of China's commercial banks; sixth, from the introduction of existing staff training to professional and humane care perspective, the commercial bank should be how to construct the professional team; finally, the regulatory authorities put forward supervision Management suggestions, including policy guidance, technical demonstration, integration of resources, balanced development and the improvement of the legal system are discussed.

【学位授予单位】：天津商业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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