银行内部评级对外部评级的方法借鉴
发布时间：2019-02-15 00:36
【摘要】：商业银行信用风险是商业银行所面临的最主要的风险。信用风险的控制不仅影响到银行自身资产的安全性、流动性、盈利性，还会影响社会公众的利益。《新巴塞尔资本协定》提出的内部评级法（IRB）是银行信用风险评估的重要方法，，要求银行对信用风险进行内部评级。但由于我国银行内部评级的发展历史还比较短，评级方法和技术有较大的局限性。 另一方面，金融危机暴露了金融机构对第三方评级即外部评级的过度依赖问题，使得提高内部评级的技术水平和独立性成为内部评级的发展方向。研究外部评级的评级方法相对于商业银行内部评级的优势，并在实践中有所借鉴，将成为商业银行提高内部评级技术的必然手段。 本文在文献研究和实地调研之后，提出内部评级对外部评级的评级方法借鉴建议：内部评级应当更加重视定性分析和专家经验，并应当建立评级展望、评级推翻、评级观察名单和追踪评级结果的机制，提高行业、地域和现金流和外部支持对评级的影响权重，从而提高评级准确度、敏感度和稳定性。
[Abstract]:Commercial bank credit risk is the most important risk faced by commercial banks. Credit risk control not only affects the security, liquidity and profitability of the bank's own assets, The internal rating method (IRB) proposed by the New Basel Capital Accord is an important method for assessing the credit risk of banks, which requires banks to carry out internal rating of credit risk. However, due to the short history of internal rating in China, there are some limitations in rating methods and techniques. On the other hand, the financial crisis has exposed the excessive dependence of financial institutions on third-party ratings, that is, external ratings, which makes improving the technical level and independence of internal ratings the development direction of internal ratings. It will be an inevitable means for commercial banks to improve the internal rating technology by studying the advantages of the external rating method compared with the internal rating of commercial banks and using it for reference in practice. After literature research and field research, this paper suggests that internal rating should pay more attention to qualitative analysis and expert experience. Ratings watch lists and tracking mechanisms for rating results increase the impact weight of industry, geographical and cash flow and external support on ratings, thereby improving rating accuracy, sensitivity and stability.
【学位授予单位】：中国社会科学院研究生院
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.3
本文编号：2422771
[Abstract]:Commercial bank credit risk is the most important risk faced by commercial banks. Credit risk control not only affects the security, liquidity and profitability of the bank's own assets, The internal rating method (IRB) proposed by the New Basel Capital Accord is an important method for assessing the credit risk of banks, which requires banks to carry out internal rating of credit risk. However, due to the short history of internal rating in China, there are some limitations in rating methods and techniques. On the other hand, the financial crisis has exposed the excessive dependence of financial institutions on third-party ratings, that is, external ratings, which makes improving the technical level and independence of internal ratings the development direction of internal ratings. It will be an inevitable means for commercial banks to improve the internal rating technology by studying the advantages of the external rating method compared with the internal rating of commercial banks and using it for reference in practice. After literature research and field research, this paper suggests that internal rating should pay more attention to qualitative analysis and expert experience. Ratings watch lists and tracking mechanisms for rating results increase the impact weight of industry, geographical and cash flow and external support on ratings, thereby improving rating accuracy, sensitivity and stability.
【学位授予单位】：中国社会科学院研究生院
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.3
【参考文献】
相关期刊论文 前4条
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本文编号：2422771
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