内部评级体系定量验证模型及在中国银行业的应用

Quantitative Validation Models of Internal Rating System and Its Application in Chinese Commercial Bank

定量验证是运用一定的统计方法来检验商业银行已运行内部客户评级体系的准确性、审慎性及稳定性。准确性验证主要检验商业银行的内部评级模型对授信客户信用状况好坏的风险识别能力;审慎性验证主要检验银行所采用的政策与标准在辨别其内部评级和风险参数量化上的保守程度;稳定性验证则主要检验在风险不变的情况下,银行所采用政策和标准能够保持评级与估值总体上不发生变化。本文介绍了常用的定量验证模型及流程,并以中国某商业银行进行定量验证的实践为例,介绍了如何进行银行内部评级体系的定量验证及在具体实践中可能遇到的问题及解决方案。

Quantitative validation is the method that uses statistical methodology to check the accuracy, prudence and stability of internal rating system in commercial banks. Accuracy validation mainly tests the risk clarification ability of internal rating models used by commercial banks when assessing client＇s credit status. Prudence validation is used to verify the moderate degree of policies and standards adopted by commercial banks in distinguishing the internal rating and quantifying the risk parameters. Stability validation mainly tests whether those policies and standards can keep the rating and estimated value stable when risks do not change. The paper introduces several popular quantitative validation models, as well as the validation process. By using the case of one Chinese commercial bank, the paper expounds the application of the models in quantitatively validating the bank＇s internal rating system, main problems in practice and the solutions.