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Application of Internal Ratings-Based Approach in Credit Risk Management of Commercial Bank

Author: YuXueZuo
Tutor: JieChuanBo
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: New Basel Capital Accord Credit Risk Management IRB Logistic regression model
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 156
Quote: 0
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Abstract


The credit risk is the most ancient forms of risk in financial markets, and nearly 30 years as the financial environment change, innovation and the development of a modern economy in credit activities, credit risk involved in the field and scale rapidly expanding, and how credit risk effective management has become challenging issues facing modern economic subjects. From the point of view of the micro-economic, credit risk may pose a threat to the economic survival of the main; From a macroeconomic point of view, the credit risk that may affect the stability and development of the entire national and global economy. Therefore, effective management of credit risk is not only conducive to the operation and development of the financial institutions themselves, and also has a very important significance for macroeconomic and financial stability. Whether it is in the past, now or in the future, to study the background to a particular economic environment, select the credit risk as the object of study has great practical significance. With China's accession to the WTO, the gradual fulfillment of commitment to opening up the banking sector as well as the development of economic and financial globalization and financial innovation, China's commercial banks are facing increasingly fierce competition, the risk of expanding the scope of the risk has deepened. Since China has become a full member of the WTO, China's commercial bank supervision and management system will be in line with international practice, we must follow the principles and methodology of the New Basel Capital Accord \compared with international banks, the credit risk management of commercial banks in China, whether in the data collection, data analysis, measurement methods, on the test results of risk management are far lagging behind. This requires domestic commercial banks credit risk management assessment methods continue to improve, the need for extensive absorption mature technology with the latest academic progress of the international academic community and the banking industry. The experience of the international banking community, determination of risk prevention and management is one of the core issues of the management of the commercial banks. Development toward a modern commercial bank of China's commercial banks in order to absorb the management of international banking experience, need to focus on absorption, the adoption of the international banking community in the risk management aspects of the theory, methods, techniques, so as soon as possible to shorten the gap with the international advanced level. Therefore, China's banking industry in the coming period needs to make major strategic adjustment and planning, and improve risk management capacity of the banking industry as a whole in an important position, which has caused attaches great importance to the Chinese government and the banking industry, and began to seek and to explore effective risk management methods. Moreover, once the new Basel Capital Accord \Therefore, China's commercial banks need to draw on the international advanced credit risk management experience, and strengthen the awareness of credit risk management and analysis, and new challenges on the status and financial openness of China's commercial banks credit risk management of the credit risk of commercial banks in China and raised suited to China specific measures of credit risk management of commercial banks to improve their competitiveness in the international banking sector. Credit risk management of commercial banks based on the perspective of the New Basel Capital Accord, to study how the standards and principles of the New Basel Capital Accord, combined with China's actual situation of China's commercial banks credit risk effectively management. China from the early 1990s, it was engaged in research on the domestic financial sector credit risk management, the theoretical circles gradually began to focus on the aspects of our bank credit risk management, and the resulting large number of research literature. At present, China's commercial bank credit risk measurement and management in general in its infancy, due to the lack of sufficient historical data, the study qualitative analysis, quantitative study of the relative lack of modern science and the lack of systematic and scientific quantitative analysis and artificial intelligence, credit risk quantification method based on measurement tools, such as the lack of a model of corporate default risk analysis, enterprise bankruptcy and failure warning model scientific quantitative model development and use of credit risk measurement in its infancy. In recent years, with the gradual deepening of the reform of the financial system and the widening of the openness of the domestic economy, the requirements of the domestic financial sector to adopt international standards, the increasing demands in accordance with international common law, which makes the financial sector credit risk management issues have been extremely attention. Traditional credit risk measurement and management tools in the development of new economic environment, have been increasingly unable to meet China's commercial banks quantitative scientific and effective management of fiduciary risk, the paper of choice for the understanding of the New Basel Capital Accord \credit risk management regulations to carry out in-depth research on credit risk management of commercial banks in China, effective combination \asset quality and profitability, have important theoretical value and practical significance. In this paper, starting from the point of view of the IRB, combined with the reality of China's commercial banks, the Shanghai and Shenzhen ST 20 listed companies in 2009 as the research sample, making the pairing and ST enterprises in the same industry and are selected assets of close to 20 normal business, with a total sample of 40 listed companies. Greatly enhanced through the design of effective index system, select 40 listed companies by ST year before the 2008 financial data, the use of the logistic regression model, test and empirical analysis of relevant indicators, played a perfect prediction performance The scientific value and practicality of this study, preliminary to solve the problem of the existence of \reference can draw on the credit risk management of commercial banks in China in the future implementation of the IRB method. In the process of research and writing of this article, trying to form some innovative points: first, the selection of the research content perspective has some originality. This article in the New Basel Capital Accord under the guidance of the commercial bank credit risk management requirements, combined with China's specific national conditions, and comprehensive discussion of the New Basel Capital Accord of the two risk capital measure that Standards Act and the IRB (IRB). In selected based on the analysis of the current situation and weigh the advantages and disadvantages of the two methods of banking risk management, risk control and supervision of China's banking capital risk measurement methods. Its main purpose is to in-depth study and understand the spirit of the New Basel Capital Accord, to open the way for further study and provides the analytical framework. Second, this paper, the theoretical analysis and historical analysis, comparative analysis, specification analysis and model analysis of the integrated use of research methods, and important issues take a combination of qualitative and quantitative analysis method. Reasonable comparative analysis methods in the theoretical analysis part of the study. The theoretical basis and the starting point of the research is to fully draw on the latest results of theoretical research on the credit risk of commercial banks at home and abroad, Research in credit risk management of commercial banks, and domestic and foreign in-depth comparative analysis research. On this basis, on the basis of the necessary theoretical research, selected from the many optional tools Logistic model as a means of PD estimation, the empirical analysis and discussion, and played a very good prediction, which greatly enhanced convincing and practical value of this study, can learn an important reference for future credit risk management of commercial banks in China. Third, the study has certain forward-looking and operability. A few years later, once China's commercial banks have generally adopted the implementation of the New Basel Capital Accord, the credit risk management must comply with international norms, should also be reflected in the text of this development trend. As much as possible to answer this question, the article also implement the IRB planning the path of China's commercial banks were shallow attempts.

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