【摘要】：商業(yè)銀行信用風(fēng)險(xiǎn)是商業(yè)銀行所面臨的最主要的風(fēng)險(xiǎn)。信用風(fēng)險(xiǎn)的控制不僅影響到銀行自身資產(chǎn)的安全性、流動(dòng)性、盈利性，還會(huì)影響社會(huì)公眾的利益�！缎掳腿麪栙Y本協(xié)定》提出的內(nèi)部評(píng)級(jí)法（IRB）是銀行信用風(fēng)險(xiǎn)評(píng)估的重要方法，，要求銀行對(duì)信用風(fēng)險(xiǎn)進(jìn)行內(nèi)部評(píng)級(jí)。但由于我國(guó)銀行內(nèi)部評(píng)級(jí)的發(fā)展歷史還比較短，評(píng)級(jí)方法和技術(shù)有較大的局限性。 另一方面，金融危機(jī)暴露了金融機(jī)構(gòu)對(duì)第三方評(píng)級(jí)即外部評(píng)級(jí)的過(guò)度依賴(lài)問(wèn)題，使得提高內(nèi)部評(píng)級(jí)的技術(shù)水平和獨(dú)立性成為內(nèi)部評(píng)級(jí)的發(fā)展方向。研究外部評(píng)級(jí)的評(píng)級(jí)方法相對(duì)于商業(yè)銀行內(nèi)部評(píng)級(jí)的優(yōu)勢(shì)，并在實(shí)踐中有所借鑒，將成為商業(yè)銀行提高內(nèi)部評(píng)級(jí)技術(shù)的必然手段。 本文在文獻(xiàn)研究和實(shí)地調(diào)研之后，提出內(nèi)部評(píng)級(jí)對(duì)外部評(píng)級(jí)的評(píng)級(jí)方法借鑒建議：內(nèi)部評(píng)級(jí)應(yīng)當(dāng)更加重視定性分析和專(zhuān)家經(jīng)驗(yàn)，并應(yīng)當(dāng)建立評(píng)級(jí)展望、評(píng)級(jí)推翻、評(píng)級(jí)觀察名單和追蹤評(píng)級(jí)結(jié)果的機(jī)制，提高行業(yè)、地域和現(xiàn)金流和外部支持對(duì)評(píng)級(jí)的影響權(quán)重，從而提高評(píng)級(jí)準(zhǔn)確度、敏感度和穩(wěn)定性。
[Abstract]:Commercial bank credit risk is the most important risk faced by commercial banks. Credit risk control not only affects the security, liquidity and profitability of the bank's own assets, The internal rating method (IRB) proposed by the New Basel Capital Accord is an important method for assessing the credit risk of banks, which requires banks to carry out internal rating of credit risk. However, due to the short history of internal rating in China, there are some limitations in rating methods and techniques. On the other hand, the financial crisis has exposed the excessive dependence of financial institutions on third-party ratings, that is, external ratings, which makes improving the technical level and independence of internal ratings the development direction of internal ratings. It will be an inevitable means for commercial banks to improve the internal rating technology by studying the advantages of the external rating method compared with the internal rating of commercial banks and using it for reference in practice. After literature research and field research, this paper suggests that internal rating should pay more attention to qualitative analysis and expert experience. Ratings watch lists and tracking mechanisms for rating results increase the impact weight of industry, geographical and cash flow and external support on ratings, thereby improving rating accuracy, sensitivity and stability.
【學(xué)位授予單位】：中國(guó)社會(huì)科學(xué)院研究生院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.3

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本文編號(hào)：2422771