论文标题:巴塞尔新资本协议下银行信用风险管理研究
Credit Risk Management of Banks in Terms of New Basel Capital Accord
论文作者
论文导师 杨整,论文学位 硕士,论文专业 金融学
论文单位 四川大学,点击次数 271,论文页数 90页File Size3680K
2006-05-10论文网 http://www.lw23.com/lunwen_4129272/
New Basel Accord;Standardized Approach;Internal Rating Based Approach;Credit Risk Management System
为了跟上金融工具不断创新发展的步伐，适应国际银行业的运行环境和监管状况的变化，1999年6月，巴塞尔银行监管委员会发布了关于修改1988年《巴塞尔协议》的征求意见稿，即《新资本协议》。2003年4月29日，巴塞尔委员会公布了新资本协议第三次征求意见稿，新协议对各国商业银行和政府监管当局提出了更多的挑战。该新协议对原有协议进行了重大修改，主要包括最小资本要求、资本充足性监管约束和市场约束三个部分，它核心原则是将最低资本标准、监管部门监督检查和市场纪律这“三大支柱”结合在一起。 文章第一部分论述了巴塞尔协议出台的背景和意义，剖析了新协议的主体框架。并且，笔者还阐述了新协议的不足之处及其对中国银行业的影响，为第二部分中国银行业面对巴塞尔新资本协议的现实选择作好铺垫。 第二部分围绕新协议的两种风险衡量方法的选择问题展开论述。在计算资本准备方面，新巴塞尔资本协议提供了标准法和内部评级法两种评估方法。标准法是根据借款人的外部评级结果确定其风险权重，再根据借款人的风险权重等级来确定银行所应提取的资本准备的方法；与标准法不同的是，内部评级法中风险的衡量由离散式改进为连续式的，通过测算违约概率、违约损失率、风险敞口和期限这四个主要参数来计算风险权重。笔者在分析我国银行业外部评级现状后，认为标准法不是银行业的最佳选择，我国商业银行应当着手建设内部评级体系，提前适应新资本协议的要求，以降低自身风险资本要求，扩张资产规模。 第三部分承接前文介绍的内部评级法，深入剖析了内部评级法中主要风险因子——违约概率、违约损失率和风险敞口。笔者从概念到特征详细分析了三
In order to keep pace with the financial development, and to adapt to the changing environment and supervisory conditions for the international banking business, in June, 1999 the Basel Bank Supervision Committee released a draft open to comments with revisions to the 1988 version, and the draft was also known as the New Basel Accord. On April 29th, 2003, the Basel Bank Supervision Committee released the third draft of New Basel Accord, which posed even greater challenges for commercial banks and supervisory authorities throughout the world. Major modifications were made in the draft, including the "three pillars" of minimal capital requirement, supervision review and market discipline.Revolving around the background and implications of the New Basel Accord, Chapter One outlined the framework of the new accord. In addition, we analyze the shortcomings existed in the new accord as well as the influence the new accord has over Chinese banking business, so as to make a good start for the discussion about the practical choice for Chinese banking industry in face of the New Basel Accord.Chapter Two unfolded the topic of the choice between two risk measuring approaches provided in the new accord. The New Basel Accord gave two methods for risk measurement in terms of capital requirement: the Standardized Approach and the Internal Rating Based Approach (IRB). The Standardized Approach uses the external rating results to calculate
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