商业银行公司客户内部信用评级方法设计和实证研究.doc

商业银行公司客户内部信用评级方法设计与实证研究中文关键字：商业银行,公司客户,违约概率,内部信用评级Keywords:commercial bank; corporate customer; probability of default; internal credit risk rating中文摘要： 实施对外开放以来，国际银行风险管理的理念、方法不断涌入中国，推动了国内商业银行加快改革和发展的步伐，商业银行风险管理得到了前所未有的重视和加强，与国际先进银行的差距不断缩小。但没有风险度量就没有真正意义上的风险管理。2006年12月10日以后，外资银行进入中国的步伐还将加快。国内商业银行迫切需要加快研究和实施内部信用风险评级，夯实信用风险管理的基础，锻炼和提高与国际先进银行同台竞技的风险管理能力。可以说，提高信用风险管理水平是提高我国银行业银行资产质量的根本措施和当务之急，而内部信用评级则是信用风险管理的关键。论文首先对银行信用风险评级的国内外理论和信用评级模型进行了综述，指出了国内信用风险评级研究存在的不足。其次，论文从银行内部信用评级实务的角度出发，综述了西方发达国家先进商业银行和国内主要商业银行的公司客户信用风险评级的实际操作方法，进一步分析了国内银行业内部信用评级方面的差距。在此基础上，论文紧密结合A银行的内部信用评级实践，确定了A银行信用评级体系建设目标、原则、思路和模式，详细设计了主要行业的“打分卡”和一个logistics违约率模型，并建立了“打分卡”与违约概率模型之间的对应关系。接着，论文运用所设计的“打分卡”和logistics违约概率模型两种评级方法对A银行9个行业的公司客户进行实证评级测试，并对评级结果进行了分析，同时对两种方法的一致性关系进行了验证。最后，提出了我国商业银行加强内部信用评级工作的政策建议。 Abstract： Since the economic opening to the world, many theories and methods of risk management of international banks have gone to china, and evaded Chinese banks to accelerate their reform and development. They have made a greater effort and minded much more to risk management, and foreshorten the distance to international advanced banks. But no measuring risk no risk management indeed. From December 10th, 2006, foreign banks will enhance their step into china. Chinese banks must research and practice internal credit risk ratings imminently, reinforce the foundation of credit risk management, in order to promote the ability of risk management and competitive to international advanced banks. In other words, elevating the ability of risk management of domestic banks is the fundamental way to promote the quality of credit assets, and the key of credit risk management is internal risk rating.The paper firstly discusses the theories and models of internal credit risk rating both in and out our country. At the same time, it points out the shortcomings of research of inter-risk-indicating in china. Secondly, the paper discusses the methods of western advanced banks and domestic banks in practical IBR and