基于高级法的两维评级贷款审批标准

Two Drating loans examination and approval standards based on senior law

新资本协议框架下,公司暴露的风险加权资产依赖于客户的违约概率和债项的违约损失率。随着内部评级高级法的实施,商业银行将逐步建立和完善客户评级与债项评级体系,用于估算违约概率和违约损失率。本文深入分析了新资本协议的资本要求计算公式,提出以资本要求低于8%为导向、以客户评级和债项评级为基础的贷款两维准入标准。目的是帮助商业银行有效管理资本充足率,以及解决中小企业融资难等问题。

Under the Basel Ⅱ framework,the derivation of risk-weighted assets for corporate exposure is dependent on estimates of probability of default（PD） and loss given default（LGD）.Therefore,with the implementation of advanced IRB approach,a commercial bank must establish in its IRB rating system two separate and distinct dimensions,i.e.borrower rating and transaction rating.After studying the capital requirement formula by Basel Ⅱ,I propose two-dimension admission criterion for short term loan,which is oriented to capital requirement lower than 8% and based on borrower rating and transaction rating.My objective is to help commercial banks control capital adequacy ratio effectively and to solve small-and medium-sized entities borrowers＇ difficulty in acquiring loan.