【摘要】：巴塞爾新資本協(xié)議作為一個(gè)全新的監(jiān)管資本管理框架,最主要的創(chuàng)新之一就是提出了計(jì)算信用風(fēng)險(xiǎn)監(jiān)管資本要求的內(nèi)部評(píng)級(jí)法。內(nèi)部評(píng)級(jí)法要求銀行在滿足監(jiān)管當(dāng)局某些最低條件的前提下,首先將銀行業(yè)務(wù)分為具有不同潛在風(fēng)險(xiǎn)特征的敞口類別,然后運(yùn)用自己的內(nèi)部評(píng)級(jí)體系及風(fēng)險(xiǎn)管理模型對(duì)特定敞口的風(fēng)險(xiǎn)要素進(jìn)行評(píng)估,評(píng)估的內(nèi)容包括違約概率、違約損失率、期限和違約風(fēng)險(xiǎn)敞口,再將風(fēng)險(xiǎn)要素的評(píng)估值輸入由巴塞爾委員會(huì)提供的風(fēng)險(xiǎn)權(quán)重函數(shù),最后計(jì)算出監(jiān)管資本要求。 內(nèi)部評(píng)級(jí)法旨在通過風(fēng)險(xiǎn)敏感度更高的監(jiān)管資本要求影響銀行的行為,促使銀行強(qiáng)化風(fēng)險(xiǎn)管理能力,從而增強(qiáng)整個(gè)銀行體系安全性與穩(wěn)定性。在設(shè)計(jì)內(nèi)部評(píng)級(jí)法的過程中,巴塞爾委員會(huì)借鑒了國(guó)際銀行業(yè)近年來開發(fā)出的多種現(xiàn)代信用風(fēng)險(xiǎn)管理模型,在對(duì)信用風(fēng)險(xiǎn)的處理上采用了相同的基本思想,即運(yùn)用VaR來確定監(jiān)管資本要求和在資產(chǎn)組合層面上處理信用風(fēng)險(xiǎn),并且在風(fēng)險(xiǎn)權(quán)重函數(shù)和期限調(diào)整因子的確定、風(fēng)險(xiǎn)集中度的調(diào)整以及風(fēng)險(xiǎn)要素的估計(jì)等方面廣泛的運(yùn)用了這些模型。同時(shí),內(nèi)部評(píng)級(jí)法自身也還存在著一些問題有待解決,主要包括內(nèi)部評(píng)級(jí)法的復(fù)雜性、對(duì)銀行實(shí)際資本持有量的影響、雙重框架對(duì)銀行體系穩(wěn)定性的影響以及強(qiáng)化親周期性效應(yīng)四個(gè)方面。 銀行業(yè)是一個(gè)高風(fēng)險(xiǎn)的行業(yè),對(duì)風(fēng)險(xiǎn)的評(píng)估和管理是銀行核心競(jìng)爭(zhēng)力所在,作為對(duì)國(guó)際銀行業(yè)在風(fēng)險(xiǎn)管理方面先進(jìn)經(jīng)驗(yàn)的總結(jié),內(nèi)部評(píng)級(jí)法為我國(guó)銀行業(yè)就如何加強(qiáng)風(fēng)險(xiǎn)管理提供了指引和思路。通過內(nèi)部評(píng)級(jí)法,我國(guó)商業(yè)銀行可以了解國(guó)際先進(jìn)銀行的風(fēng)險(xiǎn)管理思想和技術(shù),有助于推動(dòng)我國(guó)銀行業(yè)轉(zhuǎn)換經(jīng)營(yíng)理念、強(qiáng)化風(fēng)險(xiǎn)管理意識(shí)。并可以結(jié)合我國(guó)現(xiàn)實(shí)情況,直接借鑒巴塞爾委員會(huì)有關(guān)實(shí)施內(nèi)部評(píng)級(jí)法的要求,逐步構(gòu)建和完善自己的內(nèi)部評(píng)級(jí)體系,開發(fā)適合我國(guó)金融環(huán)境的風(fēng)險(xiǎn)管理模型,從而節(jié)約時(shí)間和資源,實(shí)現(xiàn)我國(guó)銀行業(yè)跨越式的發(fā)展。
[Abstract]:As a new regulatory capital management framework, Basel New Capital Accord has put forward an internal rating method to calculate the capital requirements of credit risk supervision. The internal rating law requires banks to classify their banking operations into different types of exposure with different potential risk characteristics, subject to certain minimum conditions being met by regulators. Then using their own internal rating system and risk management model to evaluate the risk factors of a specific exposure, including default probability, default loss rate, duration and default risk exposure, Then the evaluation value of risk elements is input into the risk weight function provided by the Basel Committee, and finally the regulatory capital requirements are calculated. The internal rating approach aims to influence banks' behaviour through more risk-sensitive regulatory capital requirements, and to strengthen banks' ability to manage risks, thereby enhancing the security and stability of the banking system as a whole. In the process of designing the internal rating method, the Basel Committee used various modern credit risk management models developed by the international banking industry in recent years, and adopted the same basic idea in dealing with the credit risk. That is to use VaR to determine the regulatory capital requirements and deal with credit risk at the level of portfolio, and to determine the risk weighting function and term adjustment factor. These models are widely used in the adjustment of risk concentration and the estimation of risk factors. At the same time, the internal rating method itself also has some problems to be solved, mainly including the complexity of the internal rating method, the impact on the bank's actual capital holdings. The influence of dual frame on the stability of banking system and the enhancement of pro-cyclical effect are discussed. The banking industry is a high-risk industry, the assessment and management of risk is the core competitiveness of banks, as a summary of the advanced experience of international banking in risk management. Internal rating method provides guidance and train of thought for Chinese banking on how to strengthen risk management. Through the internal rating method, the commercial banks of our country can understand the thought and technology of risk management of the international advanced banks, which is helpful to promote the transformation of the management idea and strengthen the consciousness of risk management in our country's banking industry. Combined with the reality of our country, we can draw lessons from the requirements of the Basel Committee on the implementation of internal rating law, build and perfect our own internal rating system step by step, and develop a risk management model suitable for the financial environment of our country. Thus saves time and resources, realizes our country banking leaps and bounds the development.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33;F830.2

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