论商业银行内部评级系统的建立

笔者在考察巴塞尔新协议内部评级法和十国集团商业银行的内部评级系统的基础上，分析了我国商业银行内部评级系统建设的现状和构建符合色塞尔新资本协议并且适合我国商业银行情况的内部评级系统的对策，并讨论了如何在中国建立良好的信用风险管理机制。     

内部评级系统的数据管理

巴塞尔新资本协议于2004年6月正式公布,并将从2006年在全球范围开始实施。新协议强调内部评级法(IRB)在风险管理和资本监管中的重要作用,倡导国际活跃银行基于内部数据和管理标准,建立内部评级系统和管理制度,以提高风险管理的精确性、敏感性和标准化程度。从国际经验看,内部评级系统建设过程中,大量精力将被花费在数据清洗和数据整合上。相比之下,我国商业银行的数据储备严重不足,数据缺乏规范性且数据质量不高,这些问题如不及早解决,将严重制约内部评级系统的应用和发展。为此,国内银行应尽快完成数据清洗和补录工作,并实行更加规范、严…     

商业银行内部评级的若干问题探讨

巴塞尔新资本协议给中国银行业带来巨大的挑战。由于中国缺少权威的评级机构，无法实行标准法，留给中国银行业的只有一条路可以走；内部评级法（IRB）。尽管银监会2004年宣布中国银行业暂时不实施新资本协议，但是大势所趋，IRB的实施只是一个时间的问题，中国几家大的商业银行都已经开始了IRB的征程。本文探讨的是内部评级系统开发和使用中的几个非技术性的关键问题，以供银行相关管理人员参考。     

对进一步完善我国商业银行内部评级系统的研究

本文介绍了中外银行各自内部客户评级系统的特征及相互的异同点,分析了我国商业银行现行客户评级系统存在的问题,从实际出发提出了对我国现行银行内部客户评级系统的完善措施。与完善前比较,完善后系统评级对象的范围扩大了,信用等级细化了,更便于准确的识别客户的潜在风险,从而进行风险控制。     

我国商业银行内部评级系统的构建

作为巴塞尔新资本协议核心内容的内部评级法IRB,强调建立内部风险评级系统,这对银行信用风险分析和计量从而确定其最低资本要求有重要意义。新协议对现有的风险管理体系形成较大的冲击,在新协议的推动下,许多国家的银行都在积极开发内部评级法。我国商业银行的信用评级起步较晚,与国际商业银行存在相当大的差距,限制了内部评级在揭示和控制信用风险方面的作用。本文对我国商业银行在内部评级系统的构建中存在的问题和困难进行了深入分析,并提出对信用风险进行有效细分、建立统一的数据仓库和管理信息系统、评级方法逐步向定量与定性分析相结合过渡等措施。     

构建开发银行内部评级体系的几点想法

1999年6月，巴塞尔银行监管委员会公布了关于修改1998年《巴塞尔协议》的征求意见稿。即《新资本协议》，2003年5月，中国银监会发布《巴塞尔新资本协议》第三稿译文，正式稿将于年底前完成．并于2006年在成员国开始实施。从第三稿的要求看，巴塞尔委员会高度重视内部评级法在风险管理和资本监管中的作用．并将以实际措施鼓励有条件的银     

新巴塞尔协议中的内部评级法

内部评级法（以下简称IRB法），作为新巴塞尔协议在最低资本需求的计算上的重要创新之一，是在满足某些最低条件和披露要求的前提下，得到监管当局批准的银行可根据自己对风险要素的估计值决定对特定敞口的资本要求。IRB法对每一风险类别采用一致的算法即将一组特定的风险要素转换为最低资本要求。     

新巴塞尔协议下的中国商业银行信用评级系统

随着2004年巴塞尔新资本协议的推出,将内部评级法等国际银行界发展新要求运用于中国商业银行已被提上日程。本文介绍了巴塞尔新资本协议的产生背景,并分析了中国银行业为适应协议要求对信用评级体系所做的相应调整,结合已取得的成绩,指出了在进一步实施过程中存在的问题。     

我国商业银行内部评级法实施的难点及建议

内部评级法是巴塞尔新资本协议的关键内容之一.本文对内部评级法的主要内容、银监会对商业银行实施内部评级法的要求以及对商业银行实施内部评级法的难点进行了分析,并且提出了我国商业银行实施内部评级法的建议.     

投资人付费评级对发行人付费评级的双重影响

近年来,评级虚高、区分度不足、事前预警功能弱等评级行业问题备受市场关注.以2012-2019年中国公司债和企业债评级数据为样本,运用两阶段回归法,分析了投资人付费评级对发行人付费评级的双重影响.研究发现:投资人付费评级助推了发行人付费评级虚高,降低了评级市场效率;发行人付费评级的市场公信力进一步下降.建议加强评级信息公开,扩大半公共产品型投资人付费评级范围,不断提高评级市场效率与公信力.     

Seniority Differentials in High Yield Bonds: Evolution,Valuation, and Ratings

Almost 20 years ago, one of the coauthors of this article published a study that reported finding systematically wider yield spreads on senior corporate bonds than on subordinated bonds with the same credit rating, but issued by different companies. The study also showed that this difference in spreads did not represent a market “anomaly” or failure to price risk correctly, but instead reflected differences in the actual, and hence the expected, loss rates of the securities. And such differences were in turn shown to stem from the practice of the rating agencies—which was abandoned about ten years ago—of rating a given issuer's subordinated debt two “notches” below that of its senior debt. Partly in response to this finding, all of the major agencies modified their use of this “two‐notch” convention by initiating in‐depth fundamental analysis of subordinated issuers on a case‐by‐case basis. In the meantime, the near disappearance of subordinated debt in the high yield market since the global financial crisis and its partial replacement by secured debt has furnished the authors of this article with a seemingly related “anomaly” to explore—namely, the tendency of secured bonds to have higher yields than samerated senior unsecured bonds. As in the earlier study of the senior‐subordinated puzzle, the authors' analysis confirms that the market has been properly pricing the relative risks of the different securities by showing that the actual loss rates of the secured issues have been systematically higher than those of like‐rated senior unsecured issues. The clear suggestion of these findings, as in the case of the earlier study, is that those investors who have chosen to incur the costs of analyzing expected loss rates instead of relying solely on the ratings have been rewarded for their efforts. And if the past is a guide to the future, this article may also succeed in spurring the rating agencies to make further refinements to their methods.     

中小商业银行内部评级体系建设的研究——以非零售类信用风险暴露为例

随着巴塞尔新资本协议在中国的推广应用,以内部评级法为核心的信用风险管理体系建设成为各商业银行的重点工作。对于数据质量、技术储备和各项投入等处于弱势的中小商业银行而言,其内部评级体系建设相对存在诸多困难,这就需要有明晰的思路和完善的实施路径。本文以非零售类信用风险暴露为例,阐述中小商业银行内部评级模型开发的思路及实施技术路径、信息系统规划的思路及实施、配套制度的建设及实施等,力求能给中小商业银行内部评级体系建设提供一些参考。     

Existence of Unsolicited Ratings

Rating agencies provide unsolicited ratings voluntarily without the borrowers’ consent. Therefore, the agencies do not get paid for this service. While, supporters of unsolicited ratings argue that voluntary disclosure is done to build reputation, those opposing this practice argue that this leads to financial blackmail. In this paper, we build a model that addresses these issues. We identify the scenarios where rating agencies will provide unsolicited ratings. Finally, we find the welfare effect of unsolicited ratings and suggest policy implications.      

Disclosing Physician Ratings: Performance Effects and the Difficulty of Altering Ratings Consensus

I examine effects of a health care system's policy to publicly disclose patient ratings of its physicians. I find evidence that this policy leads to performance improvement by the disclosed, subjective ratings and also by undisclosed, objective measures of quality. These effects are consistent with multitasking theory, in that physicians respond to the disclosure by providing more of a shared input—time with patients—that benefits performance by ratings and underlying quality. I also find, as predicted by information cascade theory, that the ratings become jammed to some degree near initially disclosed values. Specifically, raters observe the pattern of initial ratings and follow suit by providing similar ratings. Finally, I find evidence that physicians anticipate rating jamming and so concentrate their effort on earlier performance in order to set a pattern of high ratings that later ratings follow. These results demonstrate that the disclosure of subjective ratings can benefit performance broadly but can also shift effort toward earlier performance.     

企业内部控制框架中内部监督体系的架构

内部监督是企业内部控制系统有效运行的制度基础,是对其他内部控制要素的再控制。我国现行的由监事会、审计委员会和内部审计共同构筑的企业内部监督体系职能存在重叠,各监督主体的独立性与其监督职能不完全匹配,内部监督流于形式,亟待根据我国公司治理的特点,重新安排各监督主体的独立性,并根据其独立性配置相应的监督权限。     

Timeliness of Spread Implied Ratings

Rating agencies are known to be prudent in their approach to rating revisions, which results in delayed rating adjustments. For a large set of eurobonds we derive credit spread implied ratings and compare them with agency ratings. Our results indicate that spread implied ratings often anticipate the future movement of agency ratings and hence can help track credit risk in a more timely manner. This finding has important implications for risk managers in banks who, under the new Basel 2 regulations, have to rely more on credit ratings for capital allocation purposes, and for portfolio managers who face rating‐related investment restrictions.     

Through-the-Cycle Ratings Versus Point-in-Time Ratings and Implications of the Mapping Between Both Rating Types

The two philosophies of ratings, one that includes cyclical effects and the other that doesn't, are mirrored by the two different rating types commonly known as point-in-time (pit) and through-the-cycle (ttc). Point-in-time ratings try to evaluate the current situation of a customer by taking into account both cyclical and permanent effects. In contrast, through the-cycle ratings focus mainly on the permanent component of default risk and are nearly independent from cyclical changes in the creditworthiness of a customer. In this paper we give a review of the characteristics of both rating types and examine whether these properties can actually be observed in practice. In this context we present the results of an analysis of Standard& Poor's rating data, which show that the ratings, though being through-the-cycle, still vary in accordance with the business cycle. Another concern of this paper is the wide spread practice to map 'external' through-the-cycle ratings to 'internal' point-in-time ratings, with the purpose to enrich or validate a financial institution's internal rating database. We show that in doing so financial institutions severely misspecify customers' risk profiles and under- or overestimate costs in connection with credit pricing or capitalization. We confirm our theoretical considerations by calculating pricing quantities when using one or the other rating information.     

浅谈如何加强医院内部控制

医院要在激烈的市场竞争中提高竞争力,就必须完善内部控制,加强管理,从组织机构、岗位责任、人员培训、业务程序、工作考核和内部审计等方面建立一整套严密的控制系统。     

内部审计在人民银行内控制度建设中的作用论析

本文以阐述内部审计与内部控制制度建设的联系为逻辑起点,并结合实际,逐步分析了内部审计在人民银行内部控制制度建设中的作用,最后探讨了内部审计在人民银行内部控制制度建设中的履职方向。