本文選題：巴塞爾新資本協(xié)議 + 內部評級法��； 參考：《天津財經(jīng)大學》2013年碩士論文

【摘要】：信用風險一直是商業(yè)銀行所面臨的最主要的風險形式,世界銀行對全球銀行業(yè)危機的研究表明,導致銀行破產的主要原因是信用風險,信用風險管理是關系到商業(yè)銀行生死存亡的大事。巴塞爾新資本協(xié)議提出的銀行監(jiān)管體系新框架延續(xù)了1988年巴塞爾協(xié)議中以資本充足率為核心、以信用風險控制為重點的監(jiān)管思路,但同時認為僅通過資本規(guī)定無法實現(xiàn)銀行的安全運營,強調只有通過最低資本要求、監(jiān)管當局的監(jiān)管檢查和市場約束互為補充且互相協(xié)調配合,才能使金融體系更有效更穩(wěn)健。內部評級法是巴塞爾新資本協(xié)議的核心和主要創(chuàng)新之一,它激勵銀行自主研究風險的測量和管理方法,把銀行對重大風險要素的內部估計值作為計算資本的主要參數(shù),既強化了銀行進行風險管理和建立內控機制的責任,也增加了銀行風險管理手段的靈活性,從而將提高銀行的核心競爭力水平,將成為銀行風險管理和資本監(jiān)管的主流模式。 隨著我國金融市場進一步開放,我國商業(yè)銀行在走向國際市場進程中面臨的最大挑戰(zhàn)就是信用風險管理。2003年中國銀監(jiān)會宣布,巴塞爾新資本協(xié)議在我國商業(yè)銀行的實施將采取“兩步走”和“雙軌制”的策略。如何在實踐中不斷深入研究并實施巴賽爾新資本協(xié)議,開發(fā)與新協(xié)議一致并且適合自身特征的內部評級體系,改進風險計量手段,全面提升風險管理能力,增強我國商業(yè)銀行的國際競爭力,促進銀行體系穩(wěn)健運行和可持續(xù)發(fā)展,具有重要的現(xiàn)實意義。 文章介紹了內部評級法的基本框架及其在信用風險度量中的應用,分析了我國商業(yè)銀行信用風險管理現(xiàn)狀和現(xiàn)行內部評級體系與巴塞爾新資本協(xié)議標準之間的差距,通過借鑒歐美先進國家在實施內部評級法時的先進經(jīng)驗,對我國商業(yè)銀行內部評級體系的構建提出了建議,這些建議包括加強我國商業(yè)銀行整體信用風險管理、積累內部數(shù)據(jù),優(yōu)化指標的權重分配、提高對現(xiàn)金流的分析的重視、積極調整評級觀點、強化貸款風險五級分類制度等。
[Abstract]:Credit risk has always been the most important form of risk faced by commercial banks. The World Bank's research on the global banking crisis shows that the main cause of bank bankruptcy is credit risk.Credit risk management is related to the survival of commercial banks.The new framework of the banking supervision system put forward by the Basel New Capital Accord continues the regulatory thinking of the Basel Accord in 1988, in which capital adequacy ratio is the core and credit risk control is the focus.At the same time, the bank can not operate safely through capital regulations alone, stressing that only through minimum capital requirements, regulatory supervision and market constraints complement each other and coordinate with each other, can the financial system be more effective and robust.The internal rating method is one of the core and main innovations of the Basel New Capital Accord. It encourages banks to independently study the risk measurement and management methods, taking the internal estimates of major risk factors as the main parameters of capital calculation.It not only strengthens the responsibility of bank risk management and establishment of internal control mechanism, but also increases the flexibility of bank risk management means, which will improve the core competitiveness of banks and become the mainstream mode of bank risk management and capital supervision.With the further opening of China's financial market, the biggest challenge faced by Chinese commercial banks in the process of moving towards the international market is credit risk management. In 2003, the China Banking Regulatory Commission announced thatThe implementation of Basel New Capital Accord in China's commercial banks will adopt the strategy of "two steps" and "double track system".How to study and implement Bassel's new capital agreement in practice, develop the internal rating system consistent with the new agreement and adapt to its own characteristics, improve the risk measurement means, and improve the risk management ability.It is of great practical significance to strengthen the international competitiveness of Chinese commercial banks and to promote the steady operation and sustainable development of the banking system.This paper introduces the basic framework of internal rating method and its application in credit risk measurement, analyzes the present situation of credit risk management of commercial banks in China and the gap between the current internal rating system and the Basel New Capital Accord standard.By drawing lessons from the advanced experience of European and American advanced countries in implementing the internal rating method, this paper puts forward some suggestions for the construction of the internal rating system of our commercial banks. These suggestions include strengthening the overall credit risk management of our commercial banks and accumulating internal data.We should optimize the weight distribution of the index, pay more attention to the analysis of cash flow, adjust the viewpoint of rating actively, and strengthen the five-level classification system of loan risk, etc.
【學位授予單位】：天津財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.33

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