本文關鍵詞： 商業(yè)銀行 內部評級 違約概率 違約損失率 系統(tǒng)測試　出處：《湖南大學》2015年碩士論文　論文類型：學位論文

【摘要】：隨著巴塞爾新資本協(xié)議對商業(yè)銀行風險管理整體思路和方法論的總結與規(guī)范,全球銀行業(yè)在風險評估技術領域有了很大的突破與創(chuàng)新。在面對巴塞爾新資本協(xié)議與內部評級法視的沖擊下,成功的商業(yè)銀行不會將其視作障礙,反而視為機遇。根據國外商業(yè)銀行先進經驗,如果對內部評級法的實施過程處理適宜,就能為自身帶來諸多積極有益的變化,將促進商業(yè)銀行自身的總體IT架構、各項業(yè)務流程、系統(tǒng)數據管理、業(yè)務交易模式和數據分析平臺地極大提升,進一步加強自身的風險控制能力和商業(yè)洞察能力。本文通過對內部評級系統(tǒng)的設計和開發(fā),實現了電子化的評級流程,所有評級流程中的信息均有記錄,極大提高效率。同時通過內部評級系統(tǒng)獲得最終的評級結果,可用于支持營銷、信貸審批、風險定價、組合管理、貸后風險管理、準備金計提——EL、經濟資本分配——UL以及監(jiān)管資本充足率等諸多方面。本文的主要工作包括:(1)內部評級系統(tǒng)的需求分析。首先,對商業(yè)銀行內部評級系統(tǒng)的現狀和問題進行分析,提出了內部評級管理系統(tǒng)的總體設計思路。接著,從內部評級的數據要求、數據移植需求和內部評級的技術要求三個層面對系統(tǒng)進行技術需求分析,同時從客戶管理、評級管理、違約管理、損失數據管理、風險暴露和緩釋管理、統(tǒng)計報表、模型管理和系統(tǒng)管理進行了系統(tǒng)功能模塊分析。(2)完成了內部評級管理系統(tǒng)的設計�；谏衔牡募夹g需求分析和系統(tǒng)功能模塊分析,主要從用戶登錄模塊、客戶管理模塊、評級管理模塊、違約管理模塊、損失數據管理模塊、風險暴露和緩釋管理、統(tǒng)計報表和模型管理模塊和系統(tǒng)管理模塊八個方面進行內部評級管理系統(tǒng)的設計。(3)實現了內部評級管理系統(tǒng)。介紹了整個系統(tǒng)部分主要性功能的實現,并從數據挖掘過程的實現、數據清洗過程的實現、內部評級體系的構建以及內部評級的測算過程四個層面完成了內部評級模型的實現過程,最后從相關數據的收集、數據的預處理、測試實現和解釋三個方面完成了系統(tǒng)測試。
[Abstract]:With the conclusion and standardization of the overall thinking and methodology of risk management in commercial banks under the new Basel Capital Accord, The global banking industry has made great breakthroughs and innovations in the field of risk assessment technology. In the face of the new Basel Capital Accord and the impact of the internal rating approach, successful commercial banks will not regard it as an obstacle. According to the advanced experience of foreign commercial banks, if the implementation process of internal rating law is appropriate, it will bring many positive and beneficial changes to itself, and will promote the overall IT structure of commercial banks. Various business processes, systems data management, business transaction patterns and data analysis platforms have been greatly enhanced to further enhance their own risk control and business insight. The electronic rating process is implemented, all the information in the rating process is recorded, and the efficiency is greatly improved. At the same time, the final rating results are obtained through the internal rating system, which can be used to support marketing, credit approval, risk pricing, portfolio management. After-loan risk management, reserve provision ELL, economic capital allocation UL and regulatory capital adequacy ratio, etc. The main work of this paper includes the requirement analysis of the internal rating system. This paper analyzes the present situation and problems of the internal rating system of commercial banks, and puts forward the overall design idea of the internal rating management system. The technical requirements of data transplantation and internal rating are analyzed from three aspects: customer management, rating management, default management, loss data management, risk exposure and slow-release management, statistical report. Model management and system management system function module analysis. 2) completed the design of internal rating management system. Based on the above technical requirements analysis and system function module analysis, mainly from the user login module, customer management module, Rating management module, default management module, loss data management module, risk exposure and release management, The design of internal rating management system is carried out in eight aspects of statistical report and model management module and system management module. The internal rating management system is implemented. The main functions of the whole system are introduced. And from the realization of data mining process, data cleaning process, the construction of internal rating system and the calculation process of internal rating, the implementation process of internal rating model is completed. Finally, the collection of relevant data is carried out. Data preprocessing, test implementation and interpretation of the system completed the three aspects of the test.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：TP311.52

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