基于省域视角的信用风险模型适应性分析

巴塞尔新资本协议在鼓励银行采用内部评级法评估信用风险以提取资本准备的同时也强化了各国监管机构对内部评级模型绩效检验与审查的要求.CreditMetrics和CreditRisk+是银行业信用风险评估的基准模型.从建模的数学方法看,CreditRisk+是基于违约的判断,而CreditMetrics则是根据等级变化评价.利用江苏省银监局的相关统计数据对信用风险评估模型进行参数特性审查与绩效检验,结果显示这两类常用模型都可以在江苏的商业银行经营实践中稳定地实现根据信贷组合的实际风险状况进行内部资本配置这一目标.

On Adaptiveness of Credit Risk Model from the Provincial Perspective

The New Basel Capital Accord advocates commercial banks to establish IRB to extract capital reserve,and at the same time strengthens the requirement for national regulatory agencies to test and check the internal rating model performance.CreditMetrics and CreditRisk+ are the basic models of credit risk assessment in the banking industry.From mathematical modeling,we could see that CreditRisk+ is based on the default judgment while CreditMetrics evaluates according to the change of credit level.We also use the CBRC related statistical data of credit risk to evaluate the characteristics of model parameters and test their performance.The results show that these two kinds of models can be used in Jiangsu Commercial Banks to exercise internal capital allocation according to the actual risk of credit portfolio.