新巴塞尔协议信用风险度量模型的实证模拟——标准法、初级内部评级法和高级内部评级法的比较

Simulation of Basel Ⅱ Credit Risk Models:A Comparison of Standardized Approach,FIRB Approach and AIRB Approach

新巴塞尔协议与旧巴塞尔协议相比,具有更多的灵活性,主要体现为在风险度量模型方面为银行提供了多种选择。巴塞尔协议的核心支柱是资本充足率要求,而风险度量模型正是计算资本充足率的基础。本文对商业银行的资产组合与风险参数进行了实证模拟,对信用风险度量的标准法、初级内部评级法与高级内部评级法进行了比较研究。研究表明:三种度量模型计算的加权风险资产,在数值上存在显著性差异,越高级别的模型所测度的加权风险资产数值越低;在商业银行的资产组合中,个人住房抵押贷款、中央政府债权、企业和个人贷款占总资产的比例对模型结果的差异性存在显著性的影响;资产组合风险水平越低,越高级的测度模型所计算的加权风险资产数值越低。

Compared with Basel Ⅰ , Basel Ⅱ is with more flexibility,which mainly reflected in providing a variety of options for the bank in the risk measuremeat models. The core pillars of Basel Ⅱ is the capital adequacy requirements, while risk measurement model is the basis for calculating capital adequacy ratio. This paper makes an empirical simulation on the asset portfolio and risk parameters of commercial banks, comparative studies the standardized approach, the primany internal rating and advanced internal ratiys of the measurements of credit risk. The research shows ： siqnificant numerical differences exist in the three metric model of weighted risk assets ; in the asset portfolio of commercial bank, the ratio of different kinds of loans in total assets significantly impacts the differences of the model results.