关于构建我国商业银行IRB的探讨

Research on IRB construction of our country commercial bank

商业银行IRB可以分为三个部分:评级指标体系、评级方法和评级过程。本文通过分析国外的评级机构和商业银行关于IRB的做法及国内实业界和理论界的探讨,提出评级指标体系分为两大类,定级方法在目前多为定性与定量方法结合,为明确我国商业银行构建IRB的方向指明道路。IRB的构建完成并不意味着这个工作已经结束,模型与体系都有它的"保质期",还需要对其进行定期修正与维护。对一个IRB的有效性进行检验的标尺就是违约率。一般来说,客户信用级别越高违约率也就越低。

The commercial banks IRB consists of three sections: rating index system?rating method and rating process. IRB of the oversea rating agencies and foreign banks are introduced in the text, as well as that of academe and practice of our country. The index is divided by two species and the methods have quantitative and qualitative means .All this will be helpful for our operation. The completion of IRB does not mean that the task is over for it needs being revised timely. The measurement of this system effectiveness depends on default rate, in general the higher the credit of customer is, the lower of the default rate.