内部评级法的基本思想及其对我国银行业发展的影响

The New Basel Accord Internal Ratings-Based Approach's Basic Assumptions and Its Impact on the Banking System of China

通过对风险权重函数的推导 ,可以揭示内部评级法在资产组合层面处理信用风险和运用VaR确定监管资本要求的基本思想。内部评级法不仅凸显了我国银行业目前在风险管理方面存在的薄弱环节 ,还将有力推动我国银行业转换经营理念和强化风险管理意识 ,并为我国银行业提高风险管理水平提供正确的思路 。

This paper deeply analyzed internal ratings-based approach, and exposed its two basic assumptions that include taking asset portfolios into account about dealing with credit risk and utilizing VaR for calculating capital requirement by the deduction of risk weight function. The issuance of IRB approach will deeply influence the development of the banking system of China. It exposes the weakness of the banking system of China about risk management, and will strongly force the banking system of China to switch management idea and intensify risk management consciousness. It will provide correct ways for the banking system of China on how to promote risk management, and will provide important suggestion for small banks of China on how to develop.