内部评级法在国内商业银行实施的本土化研究

内部评级法的实施需要建立在一定的前提基础之上,中国目前的实施条件还存在一定的缺陷,因此如何在内部评级体系的构建过程中体现本土化的原则将成为有效实施的关键。中国特有的金融生态决定了地区之间的金融风险差异较大,因此在具体实施过程中,应将地区金融风险差异作为调整系数对内部评级法的评级结果进行调整。中国的商业银行尚处于内部评级法实施的准备或开始阶段,受实施条件和金融生态的限制,本土化将是一个长期的、渐进的创新过程。本土化并不仅仅是内部评级法相关标准的本地化应用,同时也要求在这一过程中有创造性地发挥内部评级法对银行风险管理的积极作用。     

经济资本在商业银行风险管理中的运用

经济资本管理作为商业银行风险管理的核心工具,其应用日益广泛。通过经济资本管理,银行可以量化经营所面临的全部风险并确定抵御风险的资本。实现经济资本管理,需要建立银行内部的评级体系,这涉及银行数据体系的建立和维护。由于整个社会信用文化的缺失以及有效数据的缺乏,我国的商业银行在这方面需做大量工作。     

基于高级法的两维评级贷款审批标准

新资本协议框架下,公司暴露的风险加权资产依赖于客户的违约概率和债项的违约损失率。随着内部评级高级法的实施,商业银行将逐步建立和完善客户评级与债项评级体系,用于估算违约概率和违约损失率。本文深入分析了新资本协议的资本要求计算公式,提出以资本要求低于8%为导向、以客户评级和债项评级为基础的贷款两维准入标准。目的是帮助商业银行有效管理资本充足率,以及解决中小企业融资难等问题。     

巴塞尔新资本协议与信用风险模型的监管审查研究

巴塞尔新资本协议鼓励银行采用内部评级法评估信用风险以提取资本准备,但内部评级法必须满足监管审查的要求。基于新资本协议的这一要求,从监管机构的角度出发,建立信用风险模型监管审查框架,讨论了银行建立内部信用风险模型时,为确保其合理性需要满足的条件与要求,从而为我国的监管机构提供参考借鉴。     

IRB法及农发行风险管理借鉴

以内部评级法（IRB）为核心内容的《巴塞尔新资本协议》已于2004年6月26日正式颁布,并于2006年底在十国集团开始实施。在《新协议》的推动下,目前国内外大多数银行都在积极研究开发IRB法,力争在2006年达标。作为农业政策性银行,积极引入和借鉴IRB法,对于农发行加强信贷管理、有效防范风险、提高经营管理水平等,同样具有非常重要的现实意义。     

Participatory Economic Research: Benefits and Challenges of Incorporating Participatory Research into Social Economics

Participatory action research (PAR) and community-based participatory research (CBPR) involve traditional subjects of research in the co-creation of research design, data collection, and analysis. PAR has been used in the fields of public health, education, and geography. A case study of a local economy CBPR project will be discussed. The increasing use of field and behavioral experiments in economics together with recent critiques of the ethical commitments of economic policy raises important questions about the role of expert knowledge, indigenous knowledge, and the relationships of power and privilege involved in mainstream academic research. The applicability of the PAR method for economics will be investigated in light of the epistemological and ethical commitments of social economics.     

Measuring Credit Risk of a Bank's Corporate Loan Portfolio Using Advanced Internal Ratings Base Approach

Abstract

The use of technical and advanced approaches in the measurement of credit risk of banks' portfolios has nowadays become a very hot issue. The most recent technical report issued by the Basel Committee in May 2003 has concentrated heavily on the measurement of credit risk using either foundation or advanced Internal Ratings Base (IRB) approaches. This empirical research study attempts to measure credit risk of a bank's corporate loan portfolio, including firms from 10 different Turkish sectors. The monthly observations of the total amount of corporate loans and the total amount of corporate loans at default across various sectors are downloaded from the web page of Central Bank of Turkey (CBT) in a period of 1999-2002. This period covers 47 monthly observations since CBT has captured sectoral corporate loans beginning of 1999. Therefore, the observed sectoral default rates are needed to be simulated to obtain a nicely shaped distribution. Monte Carlo simulation is applied for 1,000 times. Based on the simulated default rates, the expected sectoral default rates are computed. Next, a credit quality rating scale is fitted into sectoral default rates distributions. Finally, the sectoral weights in the whole loan portfolio are multiplied by the expected sectoral default rates matrix, considering cross-sectoral correlations to get the total amount of the bank's credit risk and capital requirement. It is assumed that sectoral monthly default rates are a good representative of the default risk of a sample bank's corporate loan portfolio since no publicly available data on any particular bank's corporate loan portfolio composition exists. Nevertheless, this research may be a good application for measuring the credit risk of banks' corporate loan portfolios using advanced IRB approach.     

银行内部评级体系研究:文献综述

随着信用风险管理理论与实践的发展,内部评级体系逐步成为银行信用风险管理的核心内容.特别是2004年出台的<统一资本计量和资本标准的国际协议修订框架>(巴塞尔新资本协议)确定了基于内部评级法(IRB)的信用风险度量和资本金计算框架,使得内部评级体系作为银行经营管理的主线显得更加明确.本文对国内外有关内部评级体系的研究成果进行了梳理,初步刻画了内部评级体系的理论和实践发展历程,明确了我国银行建立内部评级体系的发展方向.     

内部评级法思想及其在商业银行风险管理中的应用

为提升国内银行的风险管理能力,银监会不断推进实施新资本协议.内部评级法作为新资本协议的核心内容,其基本思想对于商业银行提高风险管理能力具有重要指导作用.本文从内部评级法的基本思想入手,结合内部评级法在国内银行风险管理中的应用情况,提出应用内部评级法加强国内银行风险管理的政策建议.     

巴塞尔新资本协议指导下的我国银行内部评级法构建

巴塞尔新资本协议内部评级法(Internal rating-based approaches,IRB)的引入是新资本协议的重大突破之一。建立内部信用评级体系是适应新的监管要求的必然趋势。本文分析了我国银行业引入内部评级法的原因和在引入过程中存在的一系列问题,提出了实施IRB规划的建议框架。