Font Size: a A A

The Application Study About The Internal Rating-Based Approach Of The New Basel Capital Accord In Our Commercial Bank

Posted on:2008-05-12Degree:MasterType:Thesis
Country:ChinaCandidate:X O YuFull Text:PDF
GTID:2189360215955345Subject:Finance
Abstract/Summary:PDF Full Text Request
Financial risks appear since the occurrence of financial circles. The two go along with each other for several centuries. Since the seventies of the 20th century, integrating with the globalization of international economy and finance, the competition among the banks more and more drastically, we can see that, the problem, which banking are faced with is credit risk, market risk and operational risk. The accumulating speed of financial risks is accelerated. Financial crisis breaks out again and again, and the credit risk has been the primary inducement to financial crisis. At present, our country is going through the transition from the traditional economy to market-oriented economy. So the banking plays an extremely important role in the development of national economy as the main part of financial circles. But the credit absence in the economic field has not only deteriorated the condition of business, debased the quality of banks' assets but also increased economic cost of the whole society. It is the primary task for all supervisory authorities to strengthen the risk supervision and maintain the safety and stability of the system.In order to strengthen the international cooperation of bank supervision, the Group of Ten established the Basel Bank Supervisory Committee at the end of 1974. Since the establishment, the committee made a series of principles and agreements, concerning the risk supervision of international banking. The New Capital Accord reflects the advanced risk management standards and thought of the financial supervise, it's application will deeply influence the global banking .The greatest innovation of The New Capital Accord is the Internal Ratings-Based Approach (IRB) which is designed to calculate capital requirement for credit risk. Basel committee hoped that the capital requirement with more sensitivity could restrict bank's behavior and induce bank to improve risk management, and finally the entire banking system would be safe and stable.The New Basel Agreement reflects the advanced risk management and supervising technology, which stands for the direction of capital supervision. With the coming and global implementing of New Basel Agreement, it has no doubt that it will affect greatly our banking risk management, especially for our state-owned commercial banks. So researching and developing advanced technology of risk management is imperative under the situation, which can help banking to improve the efficiency of keeping risk away, avoiding and removing risk.During the designing procedure, Basel committee studied lots of modern credit risk models that were developed by international banking in recent years. There are many models which have been used widely in the international banks, such as KMV model, Credit Metrics model. They represent the advanced technology of credit risk management nowadays. With the reforming and innovating of our state-owned commercial banks, they are stepping on the juice to joint with the international banking. But meanwhile, they are faced with tremendous challenges. That is, to keep up with the level of international risk management, our banking needs a bran-new change not only on management technology, but also on the way of management. Absolutely, there are so many diffculties in the application of the Internal Ratings-Based Approach (IRB) in consideration of our banking status quo, most of our commercial banks have not built a set of practicable risk management system, which is based on the international credit models. Traditional and single-form management approach has not fit with the need of internationalization of our commercial banks. Thus, we need to study to use the international advanced risk models, rating models and management systems for reference. And then linking with the situation of our banks, using our banks'inside or outside database, we should try to build our own credit models and build a set of risk management system.The paper studies the main content of Internal Ratings-Based Approach and international commercial banks'IRB system, and analysis the key factors for the application of IRB in our commercial banks. At the same time, through researching China's credit management condition, the paper tries to establish KMV model that fits China's banking industry.The paper includes five chapters, the main contents are as following:Chapter one is the preface of the thesis. Introducing the background and the framework of the thesis, then introduces the researching approach and the innovations of this paper. At last, summarizes the international researches about the traditional and modern measurement of the credit risk.Chapter two introduces the major contents of the New Capital Accord, including the principles. Then introduces IRB approach, including it's definition, structure, factors, specialty and its affect on global banking industry. Finally, point out the problems of the implementation of IRB. Preparing the theory foundation for the following discussions during the next chapters.Chapter three starts with the revolutions of the credit risk management of our commercial banks, summarizes four phases. So we have a general picture of the development of our credit risk management. Then analyses the status quo of our commercial banks'credit risk management, and find out the problems of our credit risk rating system.Chapter four enumerates the most popular credit risk models, such as KMV Model, Credit Metrics Model,Credit Risk+ Model,Credit Portfolio View Model. Analyzing the elements and process of each model, then comparing the advantages and disadvantages of theses models. Finally, introducing the credit risk rating system in America. Analyzing the practice of America bank about the measurement of the credit risk. Chapter five is one of the core and difficult parts of the thesis. Analyzing IRB's development condition in china's banking industry and the main problems. The establishment of IRB system is very complicated, and it will affect many aspects, such as corporation management, business line, data collection, and information system etc. Using the KMV model as a preference, sets up an internal rating model that fits china's banking industry. Analyzing the feasibilities of this model, then make demonstration analysis of this model in our country. At last, put forward some suggestions for the constitution of the credit risk management system which is proper for our commercial banks.
Keywords/Search Tags:the New Basel Capital Accord, the Internal Ratings-Based Approach, credit risk measurement, KMV model
PDF Full Text Request
Related items