Research On Application Of Internal Ratings-Based (IRB) Approach In Credit Risk Management In Agricultural Bank Of China

As a completely new international banking capital supervisory framework, the New Basel Capital Accord actually was also a summarizing and guidance document about advanced risk management mechanism and technique of international banking, of which one of the greatest innovation was the Internal Ratings-Based (IRB) Approach that was designed to calculate capital requirement for credit risk. During the designing procedure of the Internal Ratings-Based (IRB) Approach, the document broadly studied and absorbed lots of most advanced technique of international banking about risk evaluation, quantizing and management, especially adopted many modern credit risk models that were developed in recent years, and a complete set of systems and minimum standards also were presented for the implement and application, this must be able to promote banks to enhance further its ability of risk evaluation ? quantizing and management. First, this paper summarizes the current applications of the internal ratings in the state-owned commercial banks, reviews^ analyzes and compares modern credit risk evaluating models and their characteristic , further systematically analyzes the present measuring approaches of the ABC s credit risk evaluation and the systems of its credit risk management, and puts forward the proposals to improve its limitations. And then expatiate on the related concepts and the basic principle and also the requirements of the internal ratings-based approach of credit risk management in the Basel New Accord. Finally, based on the current situation and the need to develop the ABC s credit risk management, mainly with a view of technique, this paper discusses the following problems: how to choose the mode, how to construct the IRB system, how to build and identify the models of quantizing the Probability ofDefault, and further presents the related countermeasures and proposals.