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我国商业银行内部评级体系(IRB)的建立与应用——花旗银行风险评级模式的借鉴和启示 被引量:5

Establishment and Application of Internal Rating System in Chinese Commercial Banks --Using the Risk Rating Mode of Citibank as a Reference
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摘要 2001年3月巴塞尔委员会公布了<巴塞尔新资本协议>第二稿,并计划于2003年10月最终确定协议正式版本,该协议的推广和实施将对全球银行业的发展格局产生深远影响.
作者 武剑
出处 《新金融》 2002年第7期33-36,共4页 New Finance
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  • 1Basle Committee on Banking Supervision, A New Capital Adequacy Framework, Consultative Document, Basle, June 1999.
  • 2Basle Committee on Banking Supervision, The New Basle Capital Accord, Consultative Document, Bank For International Settlements, January 2001.
  • 3Basle Committee on Banking Supervision, The New Basle Capital Accord, Consultative Document, Bank For International Setdements, April 2003.
  • 4Basel Committee on Banking Supervision, Range of Practice in Banks' Internal Ratings Systems, Discussion Paper,Bank For International Settlements, Basel, January 2000.
  • 5Treacy, W.F., Carey, M.S., Credit Risk Rating at Large U.S. Banks, Federal Reserve Bulletin, Board of Governors of the Federal Reserve System, November 1998, 897-921.
  • 6Saunders, A., Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, New York, John Wiley &Sons, 1999.
  • 7Merton, B.C., On the Pricing of Corporate Debt: The Risky Structure of Interest Rates, Journal of Finance, 1974, 29, 2, 449-470.
  • 8KMV Corporation, Modeling Default Risk (revised version) , KMV Corporation, San Francisco, 1999.
  • 9Gupton, G.M., Stein, R.M., LossCalcTM: Moody' s Model for Predicting Loss Given Default (LGD) , Moody's Investors Service, Global Credit Research, February 2002.
  • 10中国银行业监督管理委员会翻译.巴塞尔新资本协议(征求意见稿)[Z].,..

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