Study Of Commercial Banks' Internal Rating System

The paper studies the main content of Internal Ratings Based Approach and international commercial banks' IRB system, and analysis the key factors that implement IRB. Through researching China's credit management condition, the paper tries to establish one IRB model that fits China's banking industry. Through analysis Basel Committee on Banking Supervision's suggestion, American banking industry and Swiss Bank's IRB system, the paper discusses the recent development and the main problems of China's IRB system. The internal rating model that is established in the paper can resolve many problems, so it can be used to control credit risk. The paper includes four chapters, the main contents are as following:Chapter one introduces the major contents of internal ratings based approach, including IRB's definition, structure, specialty and its affect on global banking industry. Chapter two introduces the application and implementation of IRB in international banking industry. The main content is to analysis IRB's best practice. Firstly we introduce the Basel Committee's suggestion on IRB application, then analysis the IRB's practice in American banking industry. At last, we study swiss bank's IRB system. Chapter three analysis 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. Although China's banking industry has begin to establish credit rating system, there still exist many problems. Chapter four sets up an internal rating model that fits china's banking industry. The modeling methods include main element analysis, factor analysis and collection analysis. This model solves the fowling problems: information overlap and omission and index weight determination. On the other hand, the model can connect rating result and probability of default. So it can better help to manage credit risk. The last section is conclusion. The model structured by the paper is stable and precise. It will bring good example to china's banking industry, and will help to improve credit risk management level.