从国际和国内银行发展的动态判断,构建基于内部评级法为基础的商业银行

评级体系己成为大势所趋。建立商业银行内部评级体系,不仅可以识别风险、量

化风险、进行风险监控、进行风险业务定价、提高决策透明度、降低业务决策成

本,还可以在计提贷款损失准备、资本充足管理、分配经济资本、盈利分析和预测、

激励机制等众多方面发挥重要作用。虽然巴塞尔新资本协议已为各国商业银行内

部评级体系的构建提供了指导,但是,在实施过程中我国商业银行与国外银行不

同,由于缺乏充足的基础数据,无论是违约概率测算还是风险要素量化都需要一

个长期而艰难的过程。

本文从分析评级方法、评级模型、内部评级体系相关理论以及国内外研究情

况着手,以中国银行湖南分行内部评级体系作为研究对象,重点针对银行内部信

用风险进行研究。根据我国银行业内部评级体系发展现状、趋势和要求,从评级

方法和评价内容两个方面详细分析了中国银行湖南分行信用风险内部评级体系的

现状。然后介绍了中国银行按照新巴塞尔协议内部评级法的要求,以PD模型为

基本的公司客户信用风险度量模型,构建内部评级体系的情况,通过运用实证研

究的方法论证了内部评级体系建设成果,并对目前发展状况指出了几方面的问题。

最后针对存在的问题及其对企业信用可能产生的不利影响,规划了未来中国银行

湖南分行内部评级体系构建整体框架和下一步实施二维评级体系的具体建议,并

提出了如何完善信用风险量化制度、量化体系和评定流程,实施高效率内部评级

系统的措施,以期为其它商业银行内部评级体系的发展和完善提供有益参考。

关键词:信用风险管理;内部评级体系;信用评级;巴塞尔新资本协议;内部评

级法;违约概率

Abstract

With a judgment of the development of international and domestic banks, it is a

trend to construct commercial banks’ rating systems based on the Internal

Ratings-Based Approach (IRB). Commercial banks' internal rating systems can

identify, quantify and monitor risks, price risk business, improve transparency in

decision-making and lower business decision-making costs. What's more, they will

play an important part in loan loss allowance calculation, capital adequacy

management, economic capital distribution,profit analysis and forecast,motivation

mechanism and so on. Although the new Basel Capital Accord has provided guidance

for the construction of commercial banks' internal rating systems in all countries,

these systems are implemented differently in domestic commercial banks. Due to a

shortage of basic data,it requires a long and rough process to measure breach

probability as well as to quantify risk elements.

This paper analyses the method of rating,rating model,the internal rating system

theory as well as the research situation at home and abroad to begin, to the Bank of

China Hunan branch of the internal rating system as the object of study, focusing on

the banks internal credit risk research. According to Bank of China internal rating

system development present situation,trend and requirement from the rating method

and evaluation content,detailed analysis of the two aspects of the Bank of China

Hunan branch of internal credit risk rating system. Based on the current status, trend,

and requirements of internal evaluation system of Chinese banking industry, this

essay analyzes detailly the Credit risk evaluation of Bank of China Hunan Branch

from two aspects,method and content of the evaluation system. Then it introduces the

construction of internal evaluation system in Bank of China, under the requirements

of new Basel Protocol, based on PD model as the basical corporate banking credit risk

model, through the use of practical study, this essay demonstrates achievement of

internal evaluation system construction, while figuring out several issues of the

present situation. Finally, aiming at the existing problems of enterprise credit and its

possible adverse effects, planning the future of Hunan branch of Bank of China of

internal rating system overall frame and the next step to implement specific

recommendations for two-dimensional rating system, and puts forward how to perfect

the system of credit risk quantification, quantification system and evaluation process,

the implementation of efficient internal rating system measures,with a view to other

internal rating system of commercial banks development and improvement to provide

a useful reference.

Key Words : credit risk management; internal rating system; credit rating; the new

Basel Capital Accord; the Internal Ratings-Based Approach; breach probability

IV