本文選題：內(nèi)部評級法　切入點：內(nèi)部評級體系　出處：《天津商業(yè)大學》2014年碩士論文　論文類型：學位論文

【摘要】：在現(xiàn)代商業(yè)銀行的風險管理體系中，信用風險管理是最重要的內(nèi)容，也是保障商業(yè)銀行能夠穩(wěn)定發(fā)展的關鍵因素。隨著金融業(yè)的發(fā)展和金融體系的不斷完善，世界各國對信用風險的度量與控制問題越來越重視。巴塞爾委員會自成立以來，所做出的一系列銀行業(yè)監(jiān)管規(guī)定在實踐中得到了驗證，其科學性、合理性和可操作性已被世界各國所認可�！栋腿麪栃沦Y本協(xié)議》中的內(nèi)部評級法，提出了商業(yè)銀行信用風險管理的方向，世界各國商業(yè)銀行都積極參與到內(nèi)部評級體系的建設上來。自中國加入巴塞爾委員會以來，積極推行和實施協(xié)議內(nèi)容。對中國商業(yè)銀行來說，實施內(nèi)部評級法不僅是提高自身風險管理水平的有效途徑，更是提高國際競爭力的重要手段。 本文在闡述巴塞爾協(xié)議第I、II、III版中對信用風險管理和資本監(jiān)管方面的演變的基礎上，對內(nèi)部評級法的相關概念、基本框架及要求進行論述；從商業(yè)銀行經(jīng)營發(fā)展戰(zhàn)略角度，對我國商業(yè)銀行實施內(nèi)部評級法進行了SWOT分析；在借鑒國外商業(yè)銀行的實施經(jīng)驗基礎上，結(jié)合我國商業(yè)銀行內(nèi)部評級的現(xiàn)狀和面臨的難題，提出我國商業(yè)銀行實施內(nèi)部評級法的策略。 全文共分為六章。第一章對本論文的研究背景和意義、國內(nèi)外相關的文獻研究進行綜述，并對研究此項課題的意義進行評述，探討了本文的研究方法和思路。第二章對《巴塞爾新資本協(xié)議》的演變過程進行解讀，分析了協(xié)議在信用風險管理和資本監(jiān)管方面的要求轉(zhuǎn)變的原因，重點介紹了內(nèi)部評級法的相關概念、基本框架、基本要求、風險要素的度量以及發(fā)展趨勢。第三章對商業(yè)銀行實施內(nèi)部評級法進行了SWOT分析。從商業(yè)銀行企業(yè)戰(zhàn)略的發(fā)展角度，強調(diào)了內(nèi)部評級體系建設的重要性。對商業(yè)銀行內(nèi)外部的環(huán)境進行分析和討論，構(gòu)造出SWOT矩陣，并得出分析結(jié)論，建立SWOT矩陣分析模型，為商業(yè)銀行如何利用企業(yè)內(nèi)外資源來發(fā)展和完善內(nèi)部評級體系提供戰(zhàn)略參考。第四章以花旗銀行、匯豐銀行和日本富士銀行為代表，對國外商業(yè)銀行內(nèi)部評級體系的建立進行闡述，分析他們在體系構(gòu)建上的優(yōu)勢，以及我們可以學習之處。第五章從差距上分析了我國商業(yè)銀行實施內(nèi)部評級法的現(xiàn)狀，首先對我國商業(yè)銀行實施內(nèi)部評級法的總體情況進行了概括，從非零售和零售兩方面進行闡述。然后從微觀和宏觀兩個方面說明我國商業(yè)銀行實施內(nèi)部評級法所面臨的難題。第六章提供了我國商業(yè)銀行內(nèi)部評級法實施策略上的思考。首先，論述了我國商業(yè)銀行實施內(nèi)部評級法的戰(zhàn)略意義，從銀行業(yè)發(fā)展、企業(yè)發(fā)展以及國際競爭的角度，說明了內(nèi)部評級法在信用風險管理中的重要性。其次，從技術和制度上提出如何對現(xiàn)有的體系結(jié)構(gòu)進行改進；第三，從數(shù)據(jù)的收集、清洗和整合以及數(shù)據(jù)挖掘方面闡述如何對基礎數(shù)據(jù)庫進行建設；第四，論述了商業(yè)銀行內(nèi)部評級體系的研究和開發(fā)工作，包括內(nèi)部評級體系的可持續(xù)發(fā)展、企業(yè)的信用文化建設以及定量和定性評價相結(jié)合等。第五，討論了如何研究和開發(fā)適合我國商業(yè)銀行實際情況的風險計量模型；第六，從現(xiàn)有的人員培訓到專業(yè)人才的引進再到人文關懷的角度，闡述商業(yè)銀行應如何進行專業(yè)化隊伍的建設；最后，對監(jiān)管當局提出監(jiān)管建議，包括政策上的引導，，技術上的示范、資源上的整合、平衡發(fā)展以及法律制度的完善等方面來進行論述。
[Abstract]:In the modern commercial bank risk management system, credit risk management is the most important content, but also to protect the commercial banks to the key factor in the steady development. With the development of the financial industry and the continuous improvement of financial system, the world of credit risk measurement and control problem more and more attention. Since the establishment of the Basel Committee, a a series of banking regulation made has been verified in practice, its scientific nature, rationality and operability has been approved by the IRB world. The new Basel Capital Accord >, proposed the credit risk management of commercial banks, commercial banks around the world are actively involved in the construction of internal rating system up. Since Chinese joined the Basel Committee, and actively promote the implementation of the agreement. The commercial bank China, implementation of the IRB approach is not only to improve The effective way of the risk management level is an important means to improve the international competitiveness.
In this paper the Basel protocol I, II, based on the evolution of credit risk management and regulatory capital in version III, the related concept of the internal rating method, the basic framework and requirements were discussed; from the perspective of development strategy of commercial banks, the Commercial Bank of our country implement the internal rating method for SWOT analysis drawing on the experience of implementing; foreign commercial banks, the problem with the status quo of internal rating of commercial banks in China and faces, proposed that our country commercial bank IRB strategy.
This paper is divided into six chapters. The first chapter of this paper, the research background and significance, domestic and foreign related literature were reviewed, and the significance of this research project are reviewed, discussed the methods and ideas of the research. The second chapter on the evolution of "Basel new capital agreement > the process of interpretation, analysis the reason for the change of protocol requirements in the credit risk management and regulatory capital, introduces the related concepts, the IRB framework, basic requirements, measure the risk factors and the trend of development. The third chapter makes SWOT analysis on the implementation of commercial bank's internal rating method. From the perspective of enterprise development strategy of commercial banks. Stressed the importance of building the internal rating system of commercial banks. The internal and external environment are analyzed and discussed, construct SWOT matrix, and draws the conclusion, the establishment of the SWOT matrix analysis model for commercial bank How to use the internal and external resources to develop and improve the internal rating system to provide strategic reference. In the fourth chapter, Citibank, HSBC and Fuji as the representative of the Bank of Japan, the establishment of the internal rating system of foreign commercial banks is expounded, analyzed their advantages in the system, and we can learn from. The fifth chapter analyzes the current situation of China's commercial the bank internal rating from the gap, the first of China's commercial banks to implement the IRB overall situation were summarized, analyzed from two aspects of non retail and retail. Then explains the problem of China's commercial banks to implement the IRB faced two from the micro and macro aspects. The sixth chapter provides our country commercial bank IRB reflections on the implementation strategy. Firstly, discusses the strategic significance of China's commercial banks to implement internal rating system, from the banking industry The development, enterprise development and international competition perspective, illustrates the importance of the internal rating method in credit risk management. Secondly, from the technology and the system proposed how to improve existing system structure; third, from data collection, cleaning and integration and data mining describes how to carry out the construction of basic database; fourth and discusses the research and development of the internal rating system of commercial bank, including the internal rating system of sustainable development, the construction of credit culture enterprises and the combination of quantitative and qualitative evaluation. Fifth, discusses how to research and develop the suitable risk measurement model of the actual situation of China's commercial banks; sixth, from the introduction of existing staff training to professional and humane care perspective, the commercial bank should be how to construct the professional team; finally, the regulatory authorities put forward supervision Management suggestions, including policy guidance, technical demonstration, integration of resources, balanced development and the improvement of the legal system are discussed.

【學位授予單位】：天津商業(yè)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33

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