本文選題：信用風險管理 + 內(nèi)部評級體系　； 參考：《湖南大學(xué)》2012年碩士論文

【摘要】：從國際和國內(nèi)銀行發(fā)展的動態(tài)判斷,構(gòu)建基于內(nèi)部評級法為基礎(chǔ)的商業(yè)銀行評級體系已成為大勢所趨。建立商業(yè)銀行內(nèi)部評級體系,不僅可以識別風險、量化風險、進行風險監(jiān)控、進行風險業(yè)務(wù)定價、提高決策透明度、降低業(yè)務(wù)決策成本,還可以在計提貸款損失準備、資本充足管理、分配經(jīng)濟資本、盈利分析和預(yù)測、激勵機制等眾多方面發(fā)揮重要作用。雖然巴塞爾新資本協(xié)議已為各國商業(yè)銀行內(nèi)部評級體系的構(gòu)建提供了指導(dǎo),但是,在實施過程中我國商業(yè)銀行與國外銀行不同,由于缺乏充足的基礎(chǔ)數(shù)據(jù),無論是違約概率測算還是風險要素量化都需要一個長期而艱難的過程。 本文從分析評級方法、評級模型、內(nèi)部評級體系相關(guān)理論以及國內(nèi)外研究情況著手,以中國銀行湖南分行內(nèi)部評級體系作為研究對象,重點針對銀行內(nèi)部信用風險進行研究。根據(jù)我國銀行業(yè)內(nèi)部評級體系發(fā)展現(xiàn)狀、趨勢和要求,從評級方法和評價內(nèi)容兩個方面詳細分析了中國銀行湖南分行信用風險內(nèi)部評級體系的現(xiàn)狀。然后介紹了中國銀行按照新巴塞爾協(xié)議內(nèi)部評級法的要求,以PD模型為基本的公司客戶信用風險度量模型,構(gòu)建內(nèi)部評級體系的情況,通過運用實證研究的方法論證了內(nèi)部評級體系建設(shè)成果,并對目前發(fā)展狀況指出了幾方面的問題。最后針對存在的問題及其對企業(yè)信用可能產(chǎn)生的不利影響,規(guī)劃了未來中國銀行湖南分行內(nèi)部評級體系構(gòu)建整體框架和下一步實施二維評級體系的具體建議,并提出了如何完善信用風險量化制度、量化體系和評定流程,實施高效率內(nèi)部評級系統(tǒng)的措施,以期為其它商業(yè)銀行內(nèi)部評級體系的發(fā)展和完善提供有益參考。
[Abstract]:Judging from the development of international and domestic banks, it has become a general trend to construct a commercial bank rating system based on internal rating method. The establishment of an internal rating system for commercial banks can not only identify risks, quantify risks, carry out risk monitoring, carry out risk business pricing, improve decision-making transparency, reduce business decision-making costs, but also make provision for loan losses. Capital adequacy management, distribution of economic capital, profit analysis and prediction, incentive mechanism and many other aspects play an important role. Although the Basel New Capital Accord has provided guidance for the construction of internal rating system of commercial banks in various countries, in the process of implementation, our commercial banks are different from foreign banks because of the lack of sufficient basic data. Both the probability of default and the quantification of risk factors need a long and difficult process. This paper starts from the analysis of the rating method, rating model, internal rating system theory and domestic and foreign research situation, taking the internal rating system of Bank of China Hunan Branch as the research object, focusing on the internal credit risk of the bank. According to the present situation, trend and requirements of the internal rating system in China's banking industry, the present situation of the internal credit risk rating system of Hunan Branch of Bank of China is analyzed in detail from two aspects: the rating method and the evaluation content. Then, the paper introduces the internal rating system of Bank of China in accordance with the requirements of the New Basel Accord internal rating method, taking the PD model as the basic corporate customer credit risk measurement model. By using the method of empirical research, this paper demonstrates the achievements of internal rating system construction, and points out several problems in the present development situation. Finally, in view of the existing problems and the possible adverse impact on enterprise credit, the paper plans the future internal rating system of Bank of China Hunan Branch to build the overall framework and the next implementation of the two-dimensional rating system specific recommendations. How to perfect the credit risk quantification system, the quantitative system and the evaluation process, and how to implement the high efficiency internal rating system are put forward in order to provide a useful reference for the development and perfection of the internal rating system of other commercial banks.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.33

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本文編號：1906225