商业银行内部评级法硕士毕业论文

华 中 科 技 大 学 硕 士 学 位 论 文

摘 要

在金融全球化的新形式下，国内银行业面临着参与国际竞争的严峻挑战。我国商业银行必须借鉴国际上先进的信用风险管理经验，强化信用风险管理。银行客户内部信用评级已成为商业银行提高风险管理能力，优化资产配置，实现稳健经营发展的重要工具和手段。本论文选取商业银行客户信用评级这一内容进行研究，其主要目的是希望通过对现行的银行客户信用评级体系进行系统的分析，发现问题与不足，提出相关意见及改进措施，为完善商业银行客户信用评级体系，提高信用评级功效提供一点参考。

在论文中，坚持用系统的观点，理论联系实际的方法进行研究。在诸论部分简要的论述了我国市场经济环境下的信用状况，完善银行客户信用评级的背景和意义。本文的第二部分对比中外银行客户评级系统的异同性及评级的发展历史，总结和分析了商业银行客户内部信用评级所存在的问题和不足，对其特征进行了阐述，本文第三部分比较巴塞尔协议的标准法和内部评级方法，再通过借鉴美国跨国大银行的内部评级体系的运作，对美国花旗银行的内部评级体系及其流程进行了详实的介绍，总结国外商业银行内部评级体系的经验特点，为阐述完善银行客户的信用评级体系构想打下基础。第四部分在对银行客户内部信用评级的应用情况进行分析的基础上，针对所发现的问题和不足，借鉴发达国家银行客户内部评级的经验，结合巴赛尔协议对银行内部评级法的要求，探讨了完善银行客户内部信用评级系统及其应用。

关键词：客户评级 巴塞尔协议 违约概率

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华 中 科 技 大 学 硕 士 学 位 论 文

Abstract

With the globalization of finance, Chinese domestic banking industry is facing the challenge of participating in fierce international competition. Chinese commercial banks must learn from other countries' sophisticated credit risk management experience in an attempt to strengthen its credit risk management. Customer creditworthiness rating system has become a key measure for commercial banks to improve its risk management ability and optimize the deployment of assets. The dissertation undertakes a study in the area of customer creditworthiness rating by commercial banks, in order to identify problems and provide advice on improvement through a systematic evaluation on current commercial banks' customer creditworthiness rating system. This can give people an insight into improving commercial banks' creditworthiness rating system and increasing the effectiveness of credit rating activities. The research is carried out from a systematic perspective with emphasize on applying theory into practice. The introduction section briefly explains the background and potential impact of improvement of customer creditworthiness rating since China became a member of WTO. The second section of the dissertation gives a definition of creditworthiness rating and an overview on the history of its development, while the nature of current commercial banks customer creditworthiness rating's problems and weaknesses is analyzed and summarized. In the third section of the dissertation, a comparison is made between standard method and internal rating method in Basel Capital Accord, with a reference to the operation of internal rating system within some American multinational banks. The experience of foreign commercial banks internal rating system is summarized in order to lay a solid foundation for drawing a blue map for improving customer creditworthiness rating system. Based on an analyses on the application of internal customer creditworthiness rating in the real world, the forth section explores the ways to improve customer creditworthiness rating system and its practical application with a focus on identified problems and weaknesses of current rating systems, through referring to Basel accord's requirement on banks' internal rating method and the experience of customer creditworthiness rating of commercial banks in developed countries.

Key words: Creditworthiness rating BASEL II Probability of default

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华 中 科 技 大 学 硕 士 学 位 论 文

目 录

摘 要 ............................................................................................................... I Abstract ........................................................................................................... II 1 绪论

1.1 选题的背景和意义 .............................................................................. (1) 1.2 国内外的实践及相关研究 .................................................................. (2) 1.3 研究方法 ............................................................................................... (2) 1.4 论文的创新点 ...................................................................................... (2) 2 信用评级系统简介和我国银行客户评级现状

2.1 信用等级的定义 .................................................................................. (4) 2.2 客户信用核心是信用风险 .................................................................. (5) 2.3 信用等级分类 ...................................................................................... (6) 2.4 国际大银行客户评级系统简介 .......................................................... (7) 2.5 国内商业银行客户评级系统介绍 .................................................... (10) 2.6 中外银行客户评级系统的异同性分析 ............................................ (11) 2.7 客户信用评级技术的发展 ................................................................ (11) 2.8 我国银行客户评级现状和存在问题 ................................................ (13) 3 巴塞尔新资本协议

3.1 旧巴塞尔协议 .................................................................................... (15) 3.2 新资本协议的修改进程 .................................................................... (15) 3.3 新资本协议的主要内容和意义 ........................................................ (17) 3.4 内部评级法......................................................................................... (17) 3.5 美国银行界风险内部评级法 ............................................................ (18)

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华 中 科 技 大 学 硕 士 学 位 论 文

3.6 国内内部评级法实施的难点 ............................................................ (24) 3.7 我国银行业应对新资本协议挑战的基本思路 ................................ (24) 3.8 国内银行业内部评级工作的进展情况 ............................................ (26) 4 银行内客户信用评级评级系统的完善措施

4.1 我国商业银行现行客户评级系统存在的问题与案例分析 ............ (29) 4.2 银行内部信用评级评级系统的完善措施 ........................................ (33) 4.3 采用完善后的客户评级系统对D公司评级 ................................... (43) 4.4 完善后的评级系统的应用前景 ........................................................ (51) 结束语 .......................................................................................................... (56) 致 谢 .......................................................................................................... (57) 参考文献...................................................................................................... (58) 附 录 .......................................................................................................... (61)

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