商业银行内部评级体系构建的模型风险研究

自上个世纪70年代以来,风险管理模型为银行的风险量化管理提供了工具,但也同时引致了模型风险。除少数银行外,大多数商业银行在实施内部评级法时都着力构建自己的风险管理模型体系。不论是直接引入外部模型还是自我构建模型,都必然存在模型风险的问题,其模型风险主要产生于基础模型和构建过程两个方面。由于中国正处于转轨经济阶段,因此中国商业银行在内部评级体系构建中的模型风险除了来源于基础模型、模型数据以外,模型使用环境的特殊性也是一个不可忽视的因素。压力测试和极端值方法是避免模型风险的有效技术手段,而风险文化的建设则是规避模型风险的根本所在。

Model Risk from Internal Rating System of Commercial Banks

Since the 70s of 20th century, risk management model has been used by banks to quantify risks. As a result, however, model risks are also emerging. Except few banks, most banks are interested in establishing their own risk management models when making internal rating. Whether the model is introduced externally or established internally, model risks do exist. They are believed to be caused by problems in: basic model and model construction process. As China is now a transitional economy, risks originate not only from basic model and model data, but also from environment-specific application -- a factor that cannot be overlooked. Pressure test and extreme value approach are technically effective in warding off risks. To prevent risks ultimately, a risk culture should be in place.