巴塞尔新资本协框架下我国商业银行信用风险问题研究.pdfVIP

巴塞尔新资本协议框架下我国银行业信用风险问题研究 论 文 摘 要 信用风险是商业银行所面临的最主要风险，有效地管理信用风险 是商业银行得以生存和健康发展之本。当前我国信用风险管理技术和 水平相对比较落后，借鉴国外先进信用风险管理经验成为加强国内信 用风险管理水平的重要举措。巴塞尔新资本协议的出台为我们提供了 机遇，如何按照新协议的要求尽早实行内部评级法是当前国内商业银 行所面临的主要任务。 本文首先概述了信用风险的定义、特征和对银行经营管理的影 响，并对巴塞尔新资本协议的产生和内容进行了回顾。其次，对四大 国有及国有控股商业银行的信贷客户内部信用评级体系和信贷资产 质量分类体系进行了分析和评价，并在此基础上，对国内银行业如何 开展违约概率和违约损失率的测算工作进行了探讨。最后，通过分析 我国银行业信用风险管理现状，提出了加强我国银行业信用风险管理 的政策建议。 关键词：商业银行 信用风险 风险管理 2 巴塞尔新资本协议框架下我国银行业信用风险问题研究 Abstract Credit risk is the main risk that the commercial bank faces, controlling credit risk effectively is the foundation that the commercial bank can exist and develop healthily. The technology and level of the credit risk management are backward in our country today, so it becomes a very important act that we use foreign advancing experience of credit risk management to strengthen our level. The promulgation of Basel Ⅱ offer the opportunity for us, and it is the main task the domestic commercial bank facing today that how to carry out IRB according to the requirement of the new agreement earlier. Firstly, this essay describes the define character of the credit risk and the influence on the commercial bank management, and reviews the engenderer new contents of Basel Ⅱ. Secondly, it gives some analysis and evaluation about the internal credit rating system and the credit assets quality classification system of the four state commercial banks. And on the basis of that, it discusses the measuring task of PD LGD in domestic commercial bank industry. Finally, it brings forward some policy advice that how to reinforce the credit risk management of the domes