Research On INternal Rating Of Credit Risk Of Chinese Small And Medium-sized Bank

Commercial banks, especially small and medium commercial banks(SMB in brief) are facing increasingly complex risk environment in recent 30 years. As the formal implementation of The New Basel Capital Accord in 2006, the Internal Rating-Based Approach(IRB in brief) was emphasized in the quantification of credit risk to improve the risk control. For SMB, how to set up an internal rating system, then to make validation and improvement of the internal rating model has become a very important job. This paper is based on the"Public Customer Credit Risk Rating Project"of"A bank"as the actual condition of the internal rating of credit risk as the relevant theories, the credit risk and internal rating of Chinese SMB has been studied.This paper includes five chapters. In chapter 1, the purpose and background of this study, and the contents and methods fundamental problems are described. In Chapter 2, the relevant theories of credit risk, internal rating system, the significance of credit risk measurement, the basic structure of the IRB approach are described, and the problems of IRB in Chinese SMB are presented. In Chapter 3, the internal rating system of"A bank"is described in detail, and the result of the construction and document management are also introduced. In Chapter 4, the internal rating model validation of"A bank", including the purpose and method of the validation, the customer rating model validation, the debt rating model validation, and the fine-tuning of internal rating model is described. In Chapter 5, the shortage of this article is put.The research of the internal rating of credit risk of SMB is still in its infancy, this paper is based on the"Public Customer Credit Risk Rating Project"of"A bank", describes the internal rating system and the internal rating models verification of"A bank", which would give a certain practical reference value to other SMB in the implementation of internal credit risk rating system.