The Research Of IRB Applied In The Credit Risk Rating System Of CCB

The purpose of this paper is to find out the conditions, difficulties, and practicability suggestions for CCB to implement the IRB, and the distance between CCB and the IRB of New Basel Capital Accord by the way of theory analysis and case research.Credit risk is the primary risk of commercial bank, and perfect credit risk management plays a key role on the course of commercial bank operation. As the most important part of credit risk management, the present credit risk rating system of CCB has not reflected precisely credit risk and can not meet the desire that CCB develops the modern commercial bank risk management system. The IRB, as the core part of New Basel Capital Accord, delegates the development stream of modern risk management technology, and the estimation of PD(probability of default ) and LGD(loss given default) of IRB can direct commercial bank to improve the credit risk rating level, which is responded actively by most of banks in the world. The implement of IRB is in fashion, which has the stratagem position for CCB to face the furious international competition.This paper analyzes the present credit risk rating system of CCB, and compares it with the credit rating of IRB by the way case research on the base of analysis of IRB and credit rating theory. This paper points out three deficiency of the present credit risk rating system of CCB: Categorization of exposures, lack of debt ratings, the most basic requirement of IRB implement. Then we analyze the necessary and possibility of applying IRB according to the reality. The necessary can be analyzed form the angle of internal and external which the internal premises are promoting CCB's system innovation in the deeper arrangements, improving the ability of risk management, meeting the preference of low capital, and the external premises refers to being qualified to reach the international competition request. The possibility is mainly supported by credit procedure management, credit culture, IT system and model tools. Obviously, the necessity and possibility have already existed, but many problems like system problems, technical problems and other problems are still not solved. This paper puts forward some advice in three aspects. In the system aspect, we should improve the property right system, amend the related laws, build the risk management organization, organize a professional risk rating team, set up the performance accessing system running around risk accessing. In technical aspect, we should establish a model according to the situation of China; standardize the database, subdivide the level of credit risk. In other aspects, we should give more attention to the exercise and test of the IRB, perfect and standardize the external rating institution.