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Research and Relevant Demonstration on Internal Rating-Based Approach of the New Based Capital Accord

Author: HouMin
Tutor: JieChuanBo
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: New Basel Capital Accord Credit risk IRB KMV model
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 165
Quote: 0
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Abstract


Finance is the core of market economy, commercial banks is the most important business institutions in the financial system of a country, its stability and development is the foundation of economic security and soundness of the financial system as a whole until the entire country. Commercial banks are special enterprises operating currency credit risk is the most significant feature of the business. The late 90's, the operating environment of the international banking and regulatory environment have undergone tremendous changes, competition in the financial sector, particularly cross-border inter-bank competition is becoming increasingly fierce. Bank's business, financial innovation after another to the development of complex and diversified. With the growing number of foreign financial institutions entering the country, the credit risk management has increasingly become one of the biggest challenges of commercial banks to respond to market competition. Compared with developed countries, China's commercial banks credit risk management is still in its infancy, the level of credit risk management technology is still relatively backward, credit risk management system is not perfect, especially credit risk rating of the risk management core is still in the traditional proportion The analysis phase. China has joined the WTO, the greater the degree of openness means that China's commercial banks will face more fierce competition. With the world added to the global banking industry cooperation and competition, China's commercial banks are bound to follow the guidelines to the New Basel Capital Accord international banking risk management principles, standards and methods. In this paper, China's banking industry's credit risk management, internal rating system status objective analysis and evaluation, and on this basis, a number of specific recommendations on how to establish and improve the internal rating system of China's commercial banks, want to be able to learn how to improve the level of credit risk management of China's commercial banks play a help, have certain practical significance of the research projects. The paper is divided into seven sections. The first part is the introduction, mainly on the topics of the background and significance, has summarized the results of previous studies and the research ideas and research methods. The second part provides an overview of credit risk, credit risk definitions, characteristics, classification. Part III provides an overview of the New Basel Capital Accord, the focus of the IRB (IRB) under the New Basel Capital Accord framework, elements, steps introduced. And a comparative analysis of four of the modern mainstream credit risk models (Credit Metrics model, KMV model, Credit Risk model, Credit Portfolio View model). The fourth part of the focus of the KMV model, the theoretical basis of the KMV model, with an estimated steps, advantages and disadvantages, as well as problems in the practical application of the study, and laid the foundation for the Next KMV Empirical Analysis. The fifth part is the applicability of empirical research KMV model in China. The article uses the latest data, in order to ensure the timeliness of the article. Select the 10 stocks January 6, 2009 to 2009, 26 of 24 weeks of transaction data and the 2009 mid-year report financial data, through the use of Matlab software analyzes based on the breach of the KMV model The estimated probability of large amounts of data, with the A-share market confirmed the validity and applicability of the KMV model in the Chinese market. Part VI analyzes the current situation and existing problems of China's credit risk management, the IRB In the implementation of the necessity and the difficulties are discussed and some suggestions. The seventh part is a summary of the paper. The main contribution of the article: credit risk from both the narrow and broad definitions, IRB under the New Basel Capital Accord, analysis and comparison of the four foreign mainstream credit risk measurement models. KMV model more in-depth study on the research data, using the latest data of listed companies (January to June 2009, the A-share market data as well as listed companies in 2009 reported data) as the basis of the research, thus ensuring the timeliness of the article. The formula to solve the equity value of the KMV model, and use the historical volatility calculated the company's equity market capitalization, which is one of the innovation of this paper. Using Matlab software programming to solve the distance to default of the companies and the theoretical probability of default, and through comparative analysis to prove the validity and applicability of the KMV model in the Chinese market. From the present point of view, despite the various regulatory authorities have begun to increase the importance of market risk and operational risk, credit risk is still the focus of a comprehensive risk management. Quantitative methods of credit risk in the New Basel Capital Accord, especially the IRB done at great length the introduction and in-depth discussion. To seriously study the basis of the New Basel Capital Accord, learn from foreign advanced model, and an empirical analysis combined with China's national conditions, thus completing the paper, and expect the idea to give a reference to China's commercial banks credit risk measurement.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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