我国商业银行的内部评级体系:实践及挑战

The internal rating system in China's banks: practice and challenges

2004年,巴塞尔银行监管委员会出台了《统一资本计量和资本标准的国际协议:修订框架》(简称《巴塞尔新资本协议)》,确定了基于内部评级法的信用风险度量和资本金计算框架,使得内部评级体系作为银行经营管理的主线显得更加明确。在这一国际大背景下,我国大中型银行逐步借鉴国际银行业风险管理实践,加强了信用风险管理,初步建立了内部评级体系,积极准备实施《巴塞尔新资本协议》内部评级法。本文在把握我国银行内部评级体系建设实践的基础上,重点分析了部分银行内部评级体系在违约定义、评级结构、评级方法、评级流程等方面的特点,揭示了其与《巴塞尔新资本协议》内部评级法之间的差距。

Basel Committee on Banking Supervision released International Convergence of Capital Measurement and Capital Standards： A Revised Framework （Basel Ⅱ） in 2004, which proposed the internal ratings-based approach to measure credit risk and determine capital requirements, and confirmed the importance of internal rating system in banks. Under that circumstance, the large- and medium-sized banks in China consulted the experience of international banking and promoted credit risk management, began to build the internal rating system and implemented the BASEL Ⅱ. This paper examines the internal rating system in China＇s banks, analyzes definition on default, rating structure, rating process, rating procedure, etc., and argues that internal rating system in China＇s banks can not satisfy minimum requirements for IRB Approach in Basel Ⅱ due to some defects.