商业银行非零售主标尺设计及优化研究

The Design and Optimization of the Non-retail Master Scale of Commercial Banks

在商业银行内部评级体系中,建立非零售主标尺的目的在于区分不同类型客户的信用风险,进行违约概率区间划分。通过在违约概率和信用等级之间建立统一的对应关系,实现不同客户违约风险的比较,从而为实施差别化的风险管理奠定基础。主标尺设计不当,不仅会造成评级结果过于集中于某些特定的级别,而且容易造成部分或全部级别预测的违约概率大幅偏离实际违约率,监管资本计算失真以及经济资本错误分配等后果,直接影响风险预测的合理性。本文主要介绍主标尺构建的方法论、评估主标尺合理性的标准,探讨中国银行业在设计和优化主标尺过程中存在的问题及解决思路。

In the internal rating system of commercial banks, the intention of establishing the master scale for non-retail portfolios is to classify credit risk from various customers based on bucketing the interval of probability of default, to link all credit ratings to individual probability of default assigned to each scale, to differentiate the default risk from various customers, and to lay foundations for differentiated risk management. Inappropriate design of the master scale could result in undue concentration on a couple of specific credit rating scales, generate considerable deviations between the probability of default and the actual default rate in terms of the whole or partial credit rating scales, and exert a negative impact on the accuracy for regulatory capital and economic capital calculation, which would cast doubts on the reasonability of risk prediction. This paper aims to introduce the methodology for establishing the master scale for non-retail portfolios and the criterion for assessing the reasonability for master scale design. Designing and enhancing master scale in China＇s banking industry are also addressed accordingly.