巴塞尔新资本协议内部评级法研究

Research on the IRB Approach in BaselⅡ

2004年,巴塞尔银行监管委员会公布了《统一资本计量和资本标准的国际协议:修订框架》(巴塞尔新资本协议),其中的重大创新是允许银行采用内部评级法,即允许银行使用自身内部系统的风险评估来衡量信用风险,进而作为资本计算的输入参数。本文概述了巴塞尔新资本协议出台的背景,重点阐述了银行使用内部评级法的一些具体要求,包括风险暴露类别的划分、初级法和高级法的区别,以及银行实施内部评级法时需要满足的最低要求,包括评级体系的设计、评级体系的运作、公司治理和监督、风险量化等。最后,说明了基于内部评级法的资本计算方法以及其所具有的风险敏感性。

Basel Committee on Banking Supervision released International Con- vergence of Capital Measurement and Capital Standards:A Revised Framework (BaselⅡ)in 2004,of which a significant innovation is the use of assessments of risk provided by banks'internal systems to measure credit risk and as inputs to capital calculations.The paper reviews the background of BaselⅡ,analyzes the mechanics of the IRB approach,including categorization of exposures,differences between foundation and advanced approaches,etc.,and minimum requirements for IRB approach,including rating system design,rating system operations,cor- porate governance and oversight,risk quantification,etc.Then,it shows method of capital calculations based on IRB approach and risk-sensitiveness of it.