我国商业银行内部评级的顺周期性研究——基于我国上市公司违约率的分析

Researching on Procyclicality of Commercial Bank's Internal Rating

金融危机后,各国银行监管机构开始反思传统监管政策存在的问题,并一致认为应当对银行监管的理念和方式进行改革。加强逆周期监管理论的实践与探索是各国银行监管的主要发展趋势。作为银行传统监管手段的内部评级法同样具有顺周期性。缓解我国商业银行内部评级法的顺周期性可以通过扩大违约率计算的时间区间、开展压力测试和引入杠杆率指标等途径。

After the financial crisis, bank regulators around the world think that serious problems of the traditional regulatory policy. They all agreed that we should reform the idea and the way of the banking supervision. Strengthening the practice and exploration of reverse cycle regulation theory are the main development trends of banking regulation. As the traditional methods of bank supervision, the internal rating method also has the pro-cyclical. To alleviate our country＇s procyelieality of internal rating method of commercial bank, we can expand the time interval of default rate calculation, conduct stress tests, and introduce the leverage ratio index and so on.