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。

An Analysis of the Construction of Internal Ratings - Based Systems in Small and Medium- Sized Commercial Banks

With the extension and application of Basel new agreement Ⅲ in China,the construction of credit risk management systems on the basis of Internal Ratings-based approach(IRB) has been the key point in every commercial bank.For the small and medium-sized commercial banks which are weak in data quality,technology deposition and much input,there are rather more difficulties in the construction of Internal Ratings-based systems.So we must have distinct mentality and implement technology path.Taking the Non-retailed credit risk exposure for instance,this paper represents the mentality and implement technology path of the Internal Ratings-based models and information system of the small and medium-sized commercial banks.Furthermore,we can give some deferences for the banks.