Research On The Internal Ratings Based Approach Of The New Basel Accord

This dissertation mainly studies the Internal Ratings Based Approach(IRB) of the New Basel Capital Accord (the BaselII). The research reviewed the main progress and achievement in domestic and international credit analysis and management, then focused on the study of IRB and its key techniques.It selected 788 listed companies in manufacturing industry in the end of 2004 as the sample group, and choose 14 variables from 97 main financial ratios, with the approach of factor analyses ,the research synthesized 6 independent complex-factor as: Structure of Assets, Growing-up Ability , Assets Efficiency , Develop Inertia , Debt-paying Ability , Competitive Power ,etc. On this basis, the research built up a 6-factor Logit Model to predict the probability of default. The result shows, the hit rate of the model is 91.8%, and 92% to the hit rate of no default, the hit rate on prediction of default is 89.2%.This dissertation analyzed the factors that may influence the Loss Given the Default (LGD), and has proposed the theory model of LGD.According to the reality of our country, this research put the internal rating and risk management under the frame of relationship lending, built a credit decision model and withdraw gaming model between banks and their enterprises under the frame of relationship lending, according to the result of the model analysis, the dissertation proposed the practical thinking from two aspects of technology and institutional improvement.Compared with other research, the innovation of this thesis is clicked:Compared with traditional static model, the hazard model in this...