本文首先明确了研究资本管理高级方法下 S 银行信用风险计量的目和
意义，并对国内外有关学者参考文献和相关理论进行系统的阐述及总结
随后叙述了 S 银行资本管理高级方法实施的基本背景，具体要求，现实意
义。接下来系统分析了 S 银行资本管理高级方法实施前后信用风险计量的
比较，主要包括权重法的基本原理、资产分类、计量要求等，内部评级法
的基本原理、资产分类、基本要素、计量要求、S 银行内部评级体系建设II
的主要步骤、S 银行的风险组织结构和权限管理，以及二者的差异分析
最后，重点阐述 S 银行对非零售风险暴露内部评级与零售风险暴露内部评
级的方法流程等。并通过 Z 公司的案例分析进行了具体应用；接着提出了
S 银行内部评级法的意义以及局限，针对性的提出相关的对策建议。最后
阐述了主要的结论及不足之处，进而提出了对未来研究方向的展望
关键词：资本管理高级方法；S 银行；信用风险计量；内部评级法III
S Bank Credit Risk Measurement and
Evaluation under theAdvanced Method of
Capital Management
Abstract: April 18, 2014, the China Banking Regulatory Commission officially
approved the S bank, including six commercial banks to implement advanced
methods of capital management, marking the implementation of advanced
methods of capital management in China&39;s banking industry to enter the
substantive stage. Advanced methods of capital management as a data mining
sophisticated risk management and capital management tools based on the
economic development of China has entered a new normal circumstances, it can
help commercial banks more accurately with macro industrial policy and
national strategy for the development of high-quality customers, more
proactively identify and timely exit of high risk customers and the allocation of
capital and credit resources more efficiently. Therefore, it is feasible and
necessary to implement advanced methods of capital management in
commercial banks. Six commercial banks have aroused great concern of the
pilot. The credit risk is the most important risk faced by commercial banks, with
the rapid development of domestic commercial banks in recent years, domestic
commercial banks are facing unprecedented challenges of credit risk. The six
pilot commercial banks are required to use the internal rating method under the
advanced methods of capital management. The internal rating method is the
requirements for both external supervision and internal managements.
Firstly, this paper introduces the purpose and significance of the S bank&39;s
credit risk measurement under the advanced methods of capital management.
Then it introduces the basic background of the implementation of the advancedIV
methods of S bank capital management, the specific requirements and the
practical significance. Next, the paper introduces the credit risk measurement
under the advanced method of S capital management. Including the comparison
of advanced methods of capital management after the implementation of credit
risk measurement methods, the main steps of the construction of S bank internal
rating system, risk structure of bank S, parameter estimation, risk rating and
overthrow the permission set. After that, the paper focuses on the S bank&39;s
internal rating method and the internal process of the internal risk rating of retail
risk exposure. And through the case analysis of Z company. Then, it points out
the significance and limitations of the IRB approach of S bank. And puts
forward some countermeasures and suggestions. Finally, the conclusions and
deficiencies of the paper are discussed, and the future research directions are put
forward.
Keywords: advanced methods of capital management; S bank; credit risk
measurement; the internal rating methodI
目 录
1 绪论.........1
1.1 选题依据和立论背景......1
1.2 研究目的及研究意义.....1
1.2.1 研究目的...1
1.2.2 研究意义..2
1.3 研究内容及研究方法......3
1.3.1 研究的主要内容..3
1.3.2 研究的主要方法..3
1.4 研究的主要技术路线......5
2 相关理论基础及研究现状........7
2.1 相关理论基础......7
2.1.1 信用风险管理的理论.......7
2.1.2 信用风险计量的理论.......8
2.2 研究现状.9
2.2.1 国外研究现状......9
2.2.2 国内研究现状....10
2.2.3 国内外相关研究评述....14
3 S 银行资本管理高级方法的实施要求及现实意义...15
3.1 S 银行资本管理高级方法实施的基本背景....15
3.2 S 银行资本管理高级方法实施的具体要求.... 15
3.3 S 银行资本管理高级方法应用的现实意义....16
3.3.1 资本管理高级方法有助于 S 银行提升资本运用效率16
3.3.2 资本管理高级方法有助于 S 银行优化公司治理结构16
3.3.3 资本管理高级方法可以促进 S 银行风险管理能力提升........17
3.3.4 资本管理高级方法可以增强 S 银行的核心竞争力....17
3.3.5 资本管理高级方法有助于 S 银行的国际化....18
4 S 银行资本管理高级方法实施前后信用风险计量比较.......19II
4.1 S 银行资本管理高级方法实施前的信用风险计量....19
4.1.1 权重法的基本原理及资产分类19
4.1.2 权重法下信用风险的计量要求19
4.1.3 权重法的优缺点19
4.2 S 银行资本管理高级方法实施后的信用风险计量....20
4.2.1 内部评级法的基本原理及资产分类.....20
4.2.2 内部评级法的基本要素.21
4.2.3 内部评级法下信用风险的计量要求.....21
4.2.4 S 银行内部评级体系建设的主要过程.22
4.2.5 S 银行内部评级法的具体特点.22
4.2.6 S 银行实施内部评级法的组织结构.....23
4.2.7 S 银行实施内部评级法的权限管理.....24
4.3 S 银行资本管理高级方法实施前后计量的差异分析25
4.3.1 实施条件差异.....25
4.3.2 资产分类差异....25
4.3.3 资产损失判定标准差异26
5 S 银行资本管理高级方法下信用风险计量的具体应用及评价.......29
5.1 S 银行对客户的内部评级........29
5.1.1 S 银行对非零售风险暴露内部评级.....29
5.1.2 S 银行对零售风险暴露内部评级.........32
5.2 S 银行资本管理高级方法下信用风险计量的具体应用........34
5.2.1Z 公司整体情况.
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