内部评级系统中的违约概率模型验证方法述评

Review of PD Model Validation in Internal Rating System

随着我国商业银行纷纷建立内部评级体系,如何对内评体系进行验证,以确保符合巴塞尔协议及银监会的要求,成为目前亟待解决的问题。按模型开发、持续监测和结果分析三个阶段对目前国内外常用验证方法及注意事项进行评析,并归纳实践中面临困难的低违约概率组合的验证方法,有利于今后相关研究的进一步深化。

With the establishment of internal rating system in China's commercial banks,how to verify the internal rating system to ensure the compliance with the Basel Accord and the requirements of CBRC is the problem demanding prompt solution.This article reviews the current domestic and foreign validation and precautions from the stages of model development,continuous monitoring and result analysis,and summarizes the difficult problems of current validation—validation of low PD combinations.This research is aiming to lay the foundation for further study in future.