本文選題：巴塞爾新資本協(xié)議 + 內(nèi)部評級法��； 參考：《天津財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：信用風(fēng)險(xiǎn)一直是商業(yè)銀行所面臨的最主要的風(fēng)險(xiǎn)形式,世界銀行對全球銀行業(yè)危機(jī)的研究表明,導(dǎo)致銀行破產(chǎn)的主要原因是信用風(fēng)險(xiǎn),信用風(fēng)險(xiǎn)管理是關(guān)系到商業(yè)銀行生死存亡的大事。巴塞爾新資本協(xié)議提出的銀行監(jiān)管體系新框架延續(xù)了1988年巴塞爾協(xié)議中以資本充足率為核心、以信用風(fēng)險(xiǎn)控制為重點(diǎn)的監(jiān)管思路,但同時(shí)認(rèn)為僅通過資本規(guī)定無法實(shí)現(xiàn)銀行的安全運(yùn)營,強(qiáng)調(diào)只有通過最低資本要求、監(jiān)管當(dāng)局的監(jiān)管檢查和市場約束互為補(bǔ)充且互相協(xié)調(diào)配合,才能使金融體系更有效更穩(wěn)健。內(nèi)部評級法是巴塞爾新資本協(xié)議的核心和主要?jiǎng)?chuàng)新之一,它激勵(lì)銀行自主研究風(fēng)險(xiǎn)的測量和管理方法,把銀行對重大風(fēng)險(xiǎn)要素的內(nèi)部估計(jì)值作為計(jì)算資本的主要參數(shù),既強(qiáng)化了銀行進(jìn)行風(fēng)險(xiǎn)管理和建立內(nèi)控機(jī)制的責(zé)任,也增加了銀行風(fēng)險(xiǎn)管理手段的靈活性,從而將提高銀行的核心競爭力水平,將成為銀行風(fēng)險(xiǎn)管理和資本監(jiān)管的主流模式。 隨著我國金融市場進(jìn)一步開放,我國商業(yè)銀行在走向國際市場進(jìn)程中面臨的最大挑戰(zhàn)就是信用風(fēng)險(xiǎn)管理。2003年中國銀監(jiān)會(huì)宣布,巴塞爾新資本協(xié)議在我國商業(yè)銀行的實(shí)施將采取“兩步走”和“雙軌制”的策略。如何在實(shí)踐中不斷深入研究并實(shí)施巴賽爾新資本協(xié)議,開發(fā)與新協(xié)議一致并且適合自身特征的內(nèi)部評級體系,改進(jìn)風(fēng)險(xiǎn)計(jì)量手段,全面提升風(fēng)險(xiǎn)管理能力,增強(qiáng)我國商業(yè)銀行的國際競爭力,促進(jìn)銀行體系穩(wěn)健運(yùn)行和可持續(xù)發(fā)展,具有重要的現(xiàn)實(shí)意義。 文章介紹了內(nèi)部評級法的基本框架及其在信用風(fēng)險(xiǎn)度量中的應(yīng)用,分析了我國商業(yè)銀行信用風(fēng)險(xiǎn)管理現(xiàn)狀和現(xiàn)行內(nèi)部評級體系與巴塞爾新資本協(xié)議標(biāo)準(zhǔn)之間的差距,通過借鑒歐美先進(jìn)國家在實(shí)施內(nèi)部評級法時(shí)的先進(jìn)經(jīng)驗(yàn),對我國商業(yè)銀行內(nèi)部評級體系的構(gòu)建提出了建議,這些建議包括加強(qiáng)我國商業(yè)銀行整體信用風(fēng)險(xiǎn)管理、積累內(nèi)部數(shù)據(jù),優(yōu)化指標(biāo)的權(quán)重分配、提高對現(xiàn)金流的分析的重視、積極調(diào)整評級觀點(diǎn)、強(qiáng)化貸款風(fēng)險(xiǎn)五級分類制度等。
[Abstract]:Credit risk has always been the most important form of risk faced by commercial banks. The World Bank's research on the global banking crisis shows that the main cause of bank bankruptcy is credit risk.Credit risk management is related to the survival of commercial banks.The new framework of the banking supervision system put forward by the Basel New Capital Accord continues the regulatory thinking of the Basel Accord in 1988, in which capital adequacy ratio is the core and credit risk control is the focus.At the same time, the bank can not operate safely through capital regulations alone, stressing that only through minimum capital requirements, regulatory supervision and market constraints complement each other and coordinate with each other, can the financial system be more effective and robust.The internal rating method is one of the core and main innovations of the Basel New Capital Accord. It encourages banks to independently study the risk measurement and management methods, taking the internal estimates of major risk factors as the main parameters of capital calculation.It not only strengthens the responsibility of bank risk management and establishment of internal control mechanism, but also increases the flexibility of bank risk management means, which will improve the core competitiveness of banks and become the mainstream mode of bank risk management and capital supervision.With the further opening of China's financial market, the biggest challenge faced by Chinese commercial banks in the process of moving towards the international market is credit risk management. In 2003, the China Banking Regulatory Commission announced thatThe implementation of Basel New Capital Accord in China's commercial banks will adopt the strategy of "two steps" and "double track system".How to study and implement Bassel's new capital agreement in practice, develop the internal rating system consistent with the new agreement and adapt to its own characteristics, improve the risk measurement means, and improve the risk management ability.It is of great practical significance to strengthen the international competitiveness of Chinese commercial banks and to promote the steady operation and sustainable development of the banking system.This paper introduces the basic framework of internal rating method and its application in credit risk measurement, analyzes the present situation of credit risk management of commercial banks in China and the gap between the current internal rating system and the Basel New Capital Accord standard.By drawing lessons from the advanced experience of European and American advanced countries in implementing the internal rating method, this paper puts forward some suggestions for the construction of the internal rating system of our commercial banks. These suggestions include strengthening the overall credit risk management of our commercial banks and accumulating internal data.We should optimize the weight distribution of the index, pay more attention to the analysis of cash flow, adjust the viewpoint of rating actively, and strengthen the five-level classification system of loan risk, etc.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.33

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