新巴塞尔协议中信用风险管理IRB法解析

Analysis on IRB approach of credit risk management of Basel Accord Ⅱ

为研究商业银行的信用风险管理问题,对新巴塞尔协议中信用风险管理IRB法进行系统分析,概括其基本框架,并通过详细解析其设定的4种风险要素函数来解释目前我国商业银行在运用各种信用风险管理模型时存在"黑箱"的原因,同时,探讨该方法与各种信用风险管理模型的兼容关系,通过解析信用风险管理模型中各种风险要素函数设定的内在逻辑关系,总结目前我国商业银行应用IRB法时存在的各种数据估计上的困难,从而得出应对各种困难的对策。

In order to study the credit risk management issue of commercial bank,systematic analysis is carried out on the Internal Ratings Based（IRB） approach of credit risk management of Basel Accord Ⅱ.The basic framework of it is summarized,and causes of the existing ＂black box＂ in the application of various credit risk management models among Chinese commercial banks are explained through analyzing the four kinds of risk element functions assumed by it in detail.The compatible relationship is explored between IRB approach and other credit risk management models,the diversified data estimating difficulties of IRB approach application in Chinese commercial banks are summarized through explaining and analyzing the inner logic relations among diversified risk element functions ascertained by credit risk management models,and the countermeasures corresponding to these difficulties are elicited accordingly.