文档介绍：南京航空航天大学
硕士学位论文
基于IRB初级法的我国商业银行内部评级系统研究
姓名:王宝富
申请学位级别:硕士
专业:数量经济学
指导教师:李南
20070201
南京航空航天大学硕士学位论文
摘要
内部评级法作为巴塞尔新资本协议的核心内容,代表了国际银行业风险管理
的发展趋势。有些国际先进银行已经建立了内部评级系统,在风险管理方面取得
了显著成效;我国部分商业银行也加快了内部评级法工程的实施步伐,并不断加
强数据收集和信息系统建设。鉴于当前我国的国情和银行业的现状,目前的研究
重点是内部评级的初级法。
从内部评级系统的提出到修改、完善,巴塞尔新资本协议最终在 2004 年 6
月正式公布,它为各国商业银行内部评级系统的建立提供指导。国外的学者由于
有充足的数据作为基础,所以无论是信用评级还是风险要素量化都有许多的研究
成果;而我国学者大多数只是对国外成熟模型的原理介绍和简单应用,尤其缺乏
违约概率测度的研究。
本文按照巴塞尔新资本协议中内部评级系统的要求,分析和解读了内部评级
系统中的关键要素,梳理并描画了添加风险预警环节后的内部评级流程,分析了
风险预警的各种定量方法并进行了比较,然后汇总了信用评级的方法,深入研究
了违约概率的测度方法,用 EDF 模型作了些实证分析,最后归纳整理出了内部评
级系统的应用,并描画了基于资产组合的信用风险量化流程图,以期为我国商业
银行内部评级系统的发展和完善提供有益的参考。

关键词:内部评级系统,巴塞尔新资本协议,商业银行,风险预警,信用评级,
违约概率
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基于 IRB 初级法的我国商业银行内部评级系统研究
ABSTRACT
As the core contents of the New Basel Capital Accord (NBCA), Internal
Ratings-Based (IRB) Approach represents the developing trend of the risk
management of international banks. Some advanced international banks had set up
IRB system and got notable effects in the risk management. A few Chinese banks also
speed up the execution pace of IRB approach engineering project and intensify the
collection of data and the construction of information system. In view of our country’s
conditions and the bank industry’s status, our researching emphasis is the foundation
IRB approach.
From the creating of IRB system to modifying, improving, NBCA was published
formally in June 2004 eventually. It provided the direction for the setting up of IRB
system of all countries’ commercial banks. Because the foreign scholars had enough
data as the basis, they had got many research achievements. While Chinese
researchers just introduced the principle of foreign mature models and applied those
simply, especially lacking the research of measurement of probability of default (PD).
According to the request of IRB system in NBCA, this paper analyzes the core
factors of IRB system, combs and portrays the IRB process adding the step of ris