摘要
摘要
如何准确判断信用风险大小是商业银行经营管理面临的重要问题。自 20世
纪初期以来，信用风险评估从传统定性评判逐渐发展为以定量分析和定性评估相
结合的现代计量体系。巴塞尔委员会在 2004年正式发布《巴塞尔新资本协议》，
提出商业银行可以使用内部评级法计算信用风险加权资产。我国银行业监管当局
于 2008年发布《商业银行信用风险内部评级体系监管指引》，指出“内部评级体
系应能够有效识别信用风险，具备稳健的风险区分和排序能力，并准确量化风险”。
内部评级体系主要包括违约概率、违约损失率、违约风险暴露和预期信用损
失等风险参数。内部评级的核心是使用商业银行内部数据计算风险参数，从而准
确计量银行面临风险大小和损失程度，最终计算经济资本，通过合理分配经济资
本和优化调整资产配置，促进商业银行稳健发展。
YX农村商业银行是 Y省规模较大、金融产品较为丰富的农村金融机构，其
贷款信用风险计量能力不仅影响该行的风险管理，也代表着全省农村商业银行贷
款信用风险的计量水平。随着近年来各项业务的快速发展，该行贷款信用风险凸
显，不良贷款率上升，呆账贷款增多，各项业务开展受限。究其根本，该行没有
建立一套科学的可量化的贷款信用风险计量体系为其风险控制和处置提供支撑。
本文将基于内部评级法建立模型，使用 YX农村商业银行内部业务数据和外
部数据计算相关风险参数，逐笔计量贷款信用风险大小，分析各敞口类型贷款风
险，给出贷款损失准备计提额度的建议，帮助该行增强抵御风险的能力，提高风
险管理水平。也希望为 Y省其他农村商业银行贷款信用风险计量提供借鉴和参
考。
关键字：农村商业银行；贷款信用风险计量；内部评级法
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Abstract
Abstract
How to have an accurate judgement of the scale of credit risk is an important
issue faced by commercial banks in their risk management. Since the beginning of
20th century, credit risk evaluation has gradually developed from traditionally
qualitative judgement into a modern measurement system combined with quantitative
and qualitative analysis. In 2004 Basel Committee issued Basel’s New Capital
Protocol, meaning that commercial banks are authorized to use internal rating
methods to calculate the credit risk-weighted assets. Our national banking supervision
bureau released Supervisory Guidance on the Internal Rating System of Credit Risks
within Commercial Banks where the system should be able to effectively recognize
credit risks, steadily distinguish different risks and rank them by severity, and
pointedly quantify their potential dangers.
It is mainly consisting of such risk parameters as the default probability, the
default loss rate, the exposure of default risk and expected losses. The core of internal
rating is to use the internal data in commercial banks to calculate risk parameters,
measure the scale of expected risks and their prospective losses, and eventually
calculate the economic capital. By way of reasonable distribution of economic
capitals and the improvement of asset allocation, commercial banks will sustain more
stable growth.
Reputed as the largest rural small and medium-sized financial institution in Y
Province, YX Rural Commercial Bank possesses a poor loan credit risk measurement
ability, which not only affects the credit risk rating of the bank, but also represents the
loan credit risk measurement level of all the rural small and medium-sized financial
institutions in this province. Woefully, it has not established a modern loan credit risk
measurement system so far. With the development of society and economy in recent
years, this bank relies on local resources into various business development with its
deposit and loan balance as well as financial coverage topping all the financial
institutions, and it has gradually developed into a broad-based commercial bank
focusing on deposit and loan businesses and balancing business of the same trade,
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Abstract
bills, credit card, investment and other. However, its risk management ability has not
been able to catch up with the pace of business development, and has not achieved the
coordinated development of control capacity and business development, resulting in
more bad loan debts, a rising non-performing rate, limited space of business
development. The rooted cause is that the bank lacks a scientific and quantifiable loan
credit risk measurement system to support its risk control and disposal.
This passage will set up a model based on the internal rating method and uses the
internal and external data of the bank to calculate its risk parameters. And it will
measure the scale of loan credit risk in detail, analyze the loan risk of different
opening types and suggest to increase the limit of loan loss reserves, which will be
helpful to nourish stronger capacity to defend risks and upgrade its risk management
level. We also hope that this can provide instructions and references for other rural
small and medium-sized financial institution in Y Province in terms of loan credit risk
measurement.
Key Words: Rural commercial banks; Loan credit risk measurement; Internal rating
method
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