审视内部评级体系:风险权重、风险偏好与银行业务策略

Review of Internal Rating System:Risk Weight,Risk Appetite and Business Strategy

内部评级法下,违约概率、违约损失率、违约暴露、期限是风险加权资产计算的重要参数,假设资本总量不变的前提下,4个重要参数的变化都会对资本充足率产生影响。本文按照内部评级法的资产分类方法,通过分别分析每个参数的变化对各类资产风险权重的不同影响,提出实施内部评级法以后银行业务策略应该关注的问题。

Probability of Default,Loss Given Default,Exposure at Default and Maturity are four important parameters for calculating risk-weighted assets under IRB Approach.Given that capital base remains unchanged,the change in each of these four parameters would have visible impact on capital adequacy ratio.Based on the asset classification rules under IRB Approach,the article puts forward focal issues related to business strategy through respectively analyzing various impacts exerted by the change in each parameter on risk-weighted assets.