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

【摘要】：隨著巴塞爾新資本協(xié)議對商業(yè)銀行風(fēng)險(xiǎn)管理整體思路和方法論的總結(jié)與規(guī)范,全球銀行業(yè)在風(fēng)險(xiǎn)評估技術(shù)領(lǐng)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(nèi)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(jī)遇。根據(jù)國外商業(yè)銀行先進(jìn)經(jīng)驗(yàn),如果對內(nèi)部評級法的實(shí)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(jìn)商業(yè)銀行自身的總體IT架構(gòu)、各項(xiàng)業(yè)務(wù)流程、系統(tǒng)數(shù)據(jù)管理、業(yè)務(wù)交易模式和數(shù)據(jù)分析平臺地極大提升,進(jìn)一步加強(qiáng)自身的風(fēng)險(xiǎn)控制能力和商業(yè)洞察能力。本文通過對內(nèi)部評級系統(tǒng)的設(shè)計(jì)和開發(fā),實(shí)現(xiàn)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(shí)通過內(nèi)部評級系統(tǒng)獲得最終的評級結(jié)果,可用于支持營銷、信貸審批、風(fēng)險(xiǎn)定價(jià)、組合管理、貸后風(fēng)險(xiǎn)管理、準(zhǔn)備金計(jì)提——EL、經(jīng)濟(jì)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(nèi)部評級系統(tǒng)的需求分析。首先,對商業(yè)銀行內(nèi)部評級系統(tǒng)的現(xiàn)狀和問題進(jìn)行分析,提出了內(nèi)部評級管理系統(tǒng)的總體設(shè)計(jì)思路。接著,從內(nèi)部評級的數(shù)據(jù)要求、數(shù)據(jù)移植需求和內(nèi)部評級的技術(shù)要求三個層面對系統(tǒng)進(jìn)行技術(shù)需求分析,同時(shí)從客戶管理、評級管理、違約管理、損失數(shù)據(jù)管理、風(fēng)險(xiǎn)暴露和緩釋管理、統(tǒng)計(jì)報(bào)表、模型管理和系統(tǒng)管理進(jìn)行了系統(tǒng)功能模塊分析。(2)完成了內(nèi)部評級管理系統(tǒng)的設(shè)計(jì)�；谏衔牡募夹g(shù)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(shù)據(jù)管理模塊、風(fēng)險(xiǎn)暴露和緩釋管理、統(tǒng)計(jì)報(bào)表和模型管理模塊和系統(tǒng)管理模塊八個方面進(jìn)行內(nèi)部評級管理系統(tǒng)的設(shè)計(jì)。(3)實(shí)現(xiàn)了內(nèi)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(shí)現(xiàn),并從數(shù)據(jù)挖掘過程的實(shí)現(xiàn)、數(shù)據(jù)清洗過程的實(shí)現(xiàn)、內(nèi)部評級體系的構(gòu)建以及內(nèi)部評級的測算過程四個層面完成了內(nèi)部評級模型的實(shí)現(xiàn)過程,最后從相關(guān)數(shù)據(jù)的收集、數(shù)據(jù)的預(yù)處理、測試實(shí)現(xiàn)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(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】：2015
【分類號】：TP311.52

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