本文選題：巴塞爾協(xié)議 + 內(nèi)部評(píng)級(jí)　； 參考：《山東大學(xué)》2016年碩士論文

【摘要】：近年來(lái),我國(guó)商業(yè)銀行受經(jīng)濟(jì)增速回落、轉(zhuǎn)型升級(jí)、國(guó)內(nèi)需求乏力和產(chǎn)能過(guò)剩等多方面不利因素影響,銀行的信貸資產(chǎn)和風(fēng)險(xiǎn)管理面臨諸多挑戰(zhàn),急需持續(xù)改進(jìn)風(fēng)險(xiǎn)管理和推動(dòng)業(yè)務(wù)創(chuàng)新,以增強(qiáng)風(fēng)險(xiǎn)監(jiān)控水平,提升資本監(jiān)管的風(fēng)險(xiǎn)敏感性�！栋腿麪枀f(xié)議II》和《巴塞爾協(xié)議III》的出臺(tái),代表了現(xiàn)代銀行業(yè)風(fēng)險(xiǎn)管理的發(fā)展方向,使銀行能夠更加全面、客觀地管控各項(xiàng)風(fēng)險(xiǎn),通過(guò)內(nèi)部評(píng)級(jí)法的實(shí)施,能夠有效提高國(guó)內(nèi)銀行的信用風(fēng)險(xiǎn)管理水平。實(shí)施內(nèi)部評(píng)級(jí)法是銀監(jiān)會(huì)的監(jiān)管要求,更是銀行用來(lái)提高自身風(fēng)險(xiǎn)管控和資本管理質(zhì)量的內(nèi)在驅(qū)動(dòng)力。內(nèi)部評(píng)級(jí)法作為新資本協(xié)議的重點(diǎn),是一個(gè)二維的評(píng)級(jí)體系,包括客戶評(píng)級(jí)和債項(xiàng)評(píng)級(jí),這是巴塞爾新資本協(xié)議對(duì)于內(nèi)部評(píng)級(jí)法的要求,為商業(yè)銀行提供了更為科學(xué)、全面的信用風(fēng)控計(jì)量方法。對(duì)于內(nèi)部評(píng)級(jí)體系,商業(yè)銀行需要確定信用風(fēng)險(xiǎn)資產(chǎn)進(jìn)而計(jì)算資本充足率,最終的落腳點(diǎn)是違約概率(PD)、違約損失率(LGD)、違約風(fēng)險(xiǎn)暴露(EAD)和期限(M)四個(gè)參數(shù)的確定。本文的研究主題是針對(duì)現(xiàn)有商業(yè)銀行對(duì)公法人客戶的內(nèi)部評(píng)級(jí)系統(tǒng)存在的問(wèn)題,根據(jù)內(nèi)部評(píng)級(jí)體系和內(nèi)部評(píng)級(jí)系統(tǒng)建設(shè)的要求,提出系統(tǒng)建設(shè)與完善的相關(guān)對(duì)策。通過(guò)對(duì)內(nèi)部評(píng)級(jí)二維評(píng)價(jià)體系方法論和評(píng)級(jí)打分模型的研究,提出了內(nèi)部評(píng)級(jí)模型庫(kù)設(shè)計(jì)和關(guān)鍵計(jì)算的工程化實(shí)現(xiàn)方案。文中通過(guò)靈活的模型配置和因子、參數(shù)設(shè)置,能夠?qū)δＰ陀?jì)算的優(yōu)化調(diào)整作出快速響應(yīng),以求做到內(nèi)部評(píng)級(jí)系統(tǒng)更高的可維護(hù)性、可擴(kuò)展性。文中首先采用聚類方法進(jìn)行客戶評(píng)級(jí)模型的分類和設(shè)計(jì),將包括評(píng)級(jí)模型識(shí)別、指標(biāo)計(jì)算、評(píng)級(jí)等級(jí)計(jì)算、違約概率計(jì)算等在內(nèi)的一系列客戶評(píng)級(jí)模型環(huán)節(jié)進(jìn)行模塊化分拆、組裝；接著基于債項(xiàng)評(píng)級(jí)的業(yè)務(wù)特點(diǎn),對(duì)債項(xiàng)評(píng)級(jí)關(guān)鍵計(jì)量指標(biāo)和債項(xiàng)評(píng)級(jí)因子進(jìn)行集中參數(shù)化管理設(shè)計(jì),更快地適應(yīng)系統(tǒng)管理和外圍環(huán)境變化的需要；最后,對(duì)內(nèi)部評(píng)級(jí)系統(tǒng)建設(shè)使用情況進(jìn)行了分析總結(jié),并對(duì)系統(tǒng)以后的研究重點(diǎn)和方向提出了建議。
[Abstract]:In recent years, China's commercial banks have been affected by many adverse factors, such as falling economic growth, transforming and upgrading, weak domestic demand and overcapacity, and so on. The banks' credit assets and risk management are facing many challenges. It is urgent to continuously improve risk management and promote business innovation in order to enhance the risk monitoring level and enhance the risk sensitivity of capital supervision. The introduction of Basel II and Basel III represents the development direction of modern banking risk management. Through the implementation of internal rating law, the credit risk management level of domestic banks can be effectively improved. Implementing internal rating law is the regulatory requirement of CBRC, and it is also the internal driving force for banks to improve their risk control and capital management quality. As the focus of the new capital agreement, the internal rating method is a two-dimensional rating system, including customer rating and debt rating. This is the requirement of the new Basel Capital Accord for the internal rating method, which provides more scientific for commercial banks. Comprehensive credit wind control measurement method. For the internal rating system, the commercial banks need to determine the credit risk assets and then calculate the capital adequacy ratio. The final foothold is the probability of default (PD), the default loss rate (LGD), the default risk exposure (EAD) and the maturity (M). The research theme of this paper is to aim at the problems existing in the internal rating system of the commercial banks to the customers of public legal persons, according to the requirements of the internal rating system and the construction of the internal rating system, and put forward the relevant countermeasures for the construction and perfection of the system. Based on the research on the methodology of internal rating two-dimensional evaluation system and the rating scoring model, the engineering implementation scheme of internal rating model base design and key calculation is put forward. Through flexible model configuration, factor setting and parameter setting, this paper can make a quick response to the optimization adjustment of the model calculation, in order to achieve higher maintainability and expansibility of the internal rating system. In this paper, a series of customer rating models, including rating model identification, index calculation, rating grade calculation, default probability calculation and so on, are divided into modules by using clustering method to classify and design the customer rating model, which includes the identification of the rating model, the calculation of the index, the calculation of the rating grade and the calculation of the default probability. Then, based on the business characteristics of debt rating, the key measurement indicators and debt rating factors of debt rating are designed for centralized parameterized management to meet the needs of system management and external environment change more quickly. This paper analyzes and summarizes the construction and use of the internal rating system, and puts forward some suggestions for the future research of the system.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類號(hào)】：F832.33

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