A Research On Chinese Commercial Bank Internal Rating Based Approach

On the background that banks of our country will set up the IRB Approach, this paper mainly studies the Internal Ratings Based Approach(IRB)which were put forward in the New Basel Capital Accord(the Baselâ…¡).The Internal Ratings-Based Approach(IRB) which was pointed out in the new capital accords would become the method of quantitative measurement for the commercial banks risk in the near future.The mian work and conclusions of this paper are as follows:(1) This research firstly studied the main achievements and progress in the credit risks management, then concentrated on the key techniques of IRB and puts forward the challenge to the commercial bank of China under the new conditions. The writer summed up the models of measuring credit risks, and pointed out the shortcomings of the traditional models, then made an intrductions of the advanced credit risk management models in the present. The research made a deep study of the IRB, by the means of microecnomics and game theory, this dissertation analyzed the factors which may effect the Loss Given of the Default(LGD),and brought forward the theory model of LGD.(2) In the research the writer selected 577 listed companies in the end of year 2008 as the sample group,and selected 19 variables,used the method of Logit regression model to analysis the key variables which were of great importance to the company fanancial conditions.On the basis of the front anlaysis,the research designed a seven factor Logit Model to forcast the probability of default.The sutudy told us that the predict rate of Logit Model is 87.52%,and the predict rate of the Factor Logit Model is 91.16%which were much better.(3) The writer used the method of clustering to minic the credit rating model, and drew an conclusion which were as expected. This research brought out the internal rating and risk management according to the reality of our country.In relative to the other researches, the innovations which were proposed in this article were from three aspects of technology and institutional improvement, the writer summed up as follows: (1) Compared with traditional static model, in the process of logistic analysis the writer introduced the main composition analytic approach which can ensure the integrality of the information whereas cutting down the variables.This method can make the results more reliable and it can make the modle steadier.(2) The reseach try to use the method of clustering to build the credit rating model, combined with the commercial bank credit seven rating, making a contribution to the credit rating in theory.(3) The reseach use the method of microeconomics and the game theory to put forword some suggestion to build the IRB approach under the Relationship Lending for the commercial bank of our country.