文档介绍：上海交通大学
硕士学位论文
次贷危机对新巴塞尔协议风险管理的挑战、启示
姓名:张赟
申请学位级别:硕士
专业:金融学
指导教师:胡海鸥
20100101
上海交通大学硕士学位论文次贷危机对新巴塞尔协议风险管理的挑战启示

次贷危机对新巴塞尔协议风险管理的挑战启示

摘要

次贷危机的爆发使得人们对新巴塞尔协议运行的有效性产生质
疑对新巴塞尔协议的重新思考也应运而生笔者结合次贷危机爆发
的宏观背景详细且深入的分析了在此次次贷危机中所暴露出的新巴
塞尔协议在风险管理上的不足与缺失在研究巴塞尔委员会在次贷危
机后所采取的应对措施与对新巴塞尔协议框架的最新修订稿的基础
上有针对性的提出了对新巴塞尔协议改进的细化建议使得本文的
分析与论述更贴近时代热点赋予文章新的生命力此外本文在对
新巴塞尔协议的全面理解的基础上探讨了我国在次贷危机后实行新
资本协议的几点启示从我国实行新资本协议的进展及面临的机遇与
挑战着手进一步讨论了信用风险内部评级法的应用与完善市场风
险内部模型法的推进操作风险计量的初步探讨压力情景测试在我
国的进一步应用以及实行新资本协议对银行资本充足率的影响等从
而将国外的理论和经验与国内实情相结合进一步深化论文的主题

关键词新巴塞尔协议次贷危机风险管理新资本协议

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上海交通大学硕士学位论文次贷危机对新巴塞尔协议风险管理的挑战启示

THE CHALLENGES AND SUGGESTIONS
OF BASEL II RISK MANAGEMENT
FRAMEWORK UNDER SUBPRIME CRISIS

ABSTRACT

The occurrence of subprime crisis aroused the doubts on the
efficiency of Basel II, leading to the reconsideration of its supervision
framework. The paper elaborated on the challenges and inadequacies of
Basel II risk management exposed during subprime crisis, and further
concluded several feasible suggestions on the improvement of Basel II
risk management after taking the actions of mittee and latest
revision of its framework into consideration. Furthermore, the paper also
offers valuable suggestions on China’s banking risk management under
full understanding and analysis of Basel II, incorporating the latest
progresses and challenges of the implementation of China New Capital
Accord, such as the improvement and promotion of Internal
Ratings-Based (IRB) approach of credit risk and market risk, the basic
analysis of operational risk in China, the further implementation of the
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上海交通大学硕士学位论文次贷危机对新巴塞尔协议风险管理的挑战启示
press test and the influence of Capital Adquency Rate (CAR) under New
Captial Accord. The paper deepens the theme and research value of the
paper bining the global experiences and updates with China’s
characteristics.

KEY WORDS: Basel II, subprime crisis, risk ma