巴塞尔新资本协议与信用风险模型的监管审查研究

Research on Supervisory Review for IRB Approach Based on New Basel Capital Accord

巴塞尔新资本协议鼓励银行采用内部评级法评估信用风险以提取资本准备,但内部评级法必须满足监管审查的要求。基于新资本协议的这一要求,从监管机构的角度出发,建立信用风险模型监管审查框架,讨论了银行建立内部信用风险模型时,为确保其合理性需要满足的条件与要求,从而为我国的监管机构提供参考借鉴。

Banks are encouraged to adopt Internal Ratings - based approaches to evaluate credit risk so as to make capital provision. However, the IRB approach must satisfy the requirement of supervisory review process. Based on this point this paper constructs a framework that monitors and validates credit risk models, then discusses the requirements that banks should meet in the building process of their own credit risk models so that provides some valuable reference for our supervisory authorities.