工程化思维下的信用风险度量研究

信用风险是我国商业银行目前面临的主要风险。而信用风险度量是有效信用风险管理的核心。新巴塞尔资本协议将信用风险作为重中之重,鼓励商业银行建立以工程化的内部评级模型。本文在介绍了现代信用风险的工程化度量趋势和技术的基础上,针对我国金融机构的现状,研究了在巴塞尔协议的IRB框架下实施信用风险工程化度量的对策。

The Study of Credit Risk Measurement under Engineering Thought

Credit risk is the major risk confronting the commercial banks in China.The measurement of credit risk is the nuclear of an effective risk management.In the New Basel Capital Accord credit risk has been listed the first important item,encouraging commer-cial banks to build an engineering IRB model.After the introduction to the tendency and technology of engineering measurement in modern credit risk,this paper,according to the current status of China's financial institutions,studies the measures to conduct en-gineering measurement of credit risk under IRB as per the New Basel Capital Accord.