基于IRB法构建我国商业银行内部评级体系研究

2004年6月巴塞尔新资本协议的出台是信用风险量化管理快速发展的重要标志。新协议在衡量信用风险方面,提出了一系列新的监管框架,其中的重点就是内部评级法的提出。然而,目前我国的商业银行在这方面无论从经验上还是技术上都比较落后,距离新协议的IRB法的要求也尚有较大距离。要实现尽快建立符合新协议要求的内部评级体系这一目标,我国商业银行应结合我国实际,借鉴国际上先进的信用风险管理技术,基于IRB法的框架建设适合我国商业银行的信用风险内部评级体系。

Research on Internal Rating System of Commercial Banks Based on TRB

In June 2004,the announcement of The New Basle Capital Accord is an important signal to the fast development of the quantization management of credit risks.The new accord puts forward a series of new supervise framework in measuring credit risks,the emphasis in which is the announcement of Internal Ratings Based Approach(IRB).With the enlarging of the opening level of Chinese commercial banks and the reformation of Chinese state-owned commercial banks,it is very urgent for our commercial banks to follow the...