Research On The Internal Ratings-Based System Of Chinese Commercial Banks On The Basis Of The IRB Foundation Approach

As the core contents of the New Basel Capital Accord (NBCA), Internal Ratings-Based (IRB) Approach represents the developing trend of the risk management of international banks. Some advanced international banks had set up IRB system and got notable effects in the risk management. A few Chinese banks also speed up the execution pace of IRB approach engineering project and intensify the collection of data and the construction of information system. In view of our country's conditions and the bank industry's status, our researching emphasis is the foundation IRB approach.From the creating of IRB system to modifying, improving, NBCA was published formally in June 2004 eventually. It provided the direction for the setting up of IRB system of all countries'commercial banks. Because the foreign scholars had enough data as the basis, they had got many research achievements. While Chinese researchers just introduced the principle of foreign mature models and applied those simply, especially lacking the research of measurement of probability of default (PD).According to the request of IRB system in NBCA, this paper analyzes the core factors of IRB system, combs and portrays the IRB process adding the step of risk precaution, describes several quantitative methods of risk precaution and compares them, then collets the methods of credit rating, does some deep researches in measurement of PD which are the core contents of IRB system, and does some empirical analysis using EDF model, finally gives the application of the IRB system and draws the chart of credit risk quantization in terms of portfolio theory, wishes to provide beneficial reference for the development and improvement of Chinese commercial banks'IRB system.