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Research On The Internal Rating Approach Of The New Basel Capital Accord

Posted on:2011-06-25Degree:MasterType:Thesis
Country:ChinaCandidate:Z P KuangFull Text:PDF
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China have been joined in the Basel Committee on Banking Supervision in March 2009, which will bring about the development of China’s banking industry. On the one hand, the role of China’s bank supervision have changed from the ’receiver’to’makers’; On the other hand, this will raise the overall level of China’s banking industry.The New Basel Capital Accord requires banks to customer evaluation system able to meet the IRB basic principles.Today, the focus of international competition among banks has been shifted from the traditional emphasis on marketing to focus risk management. More and more people of insight understand that a good risk-control capability, and the resulting potential for truly sustainable development is an important indicator of advanced banking. According to the requirements of the New Capital Accord, the original customer evaluation approaches can not meet the modern commercial banks credit risk measurement. As the new Capital Accord in the banking risk management play an important guiding role in the new agreement in accordance with IRB requirements, the use of science and technical methods to develop a banking business in line with the development needs of customer credit rating system is to become a bank risk management an important and urgent task. It is not only conducive to fine banks to credit risk management, but also conducive to bank credit business healthy and rapid development.This paper is divided into five chapters。ChapterⅠ-Introduction section, the outbreak of this financial crisis makes the idea of international banking supervision which reached further consensus on the new Capital Accord of the implementation process. ChapterⅡ--the New Basel Capital Accord’s Internal Ratings-Based Approach and its key technologies of analysis and research; Chapter III reviewed the theory of data mining, mainly from the concepts and definitions of data mining, data mining functions and data mining methods on the three aspects of data mining is reviewed.Chapter IV is the empirical part. I am use of principal component factor analysis dimensionality reduction method to reduce the 21 financial indicators to arrive responsible factors, debt factors, operating factors, turnover factor, growth factor, profit factor, inventory factors, Leverage factor, growth factors such as 9 independent common factor. Then these nine common factor as input variables, to establish a probability of default for the output variables of a data set, using neural networks, Logistic regression and decision tree classification of three kinds of data mining. Finally, according to the value predicted by the model of default probabilities from small to big to sort through the identification of nine critical value of the 1261 samples were divided into 10 grades.The main contribution of this paper and significance are:1、The data mining analysis methods applied to the internal rating system and to build them on the corporate credit assets of banks how to classify, and for the 10 asset default rates for each level presents a practical solution.2、The New Basel Capital Accord in the company’s exposure to this kind of risk regulatory capital calculation, the calculation of risk-weighting factor of how they arrived, and carried out a detailed derivation. Pointed out that a single systemic factors can not fully cover the risk of exposure to risks.3、The EM module through the SAS empirical results, Neural Networks and Logistic Regression of these two data mining classification method in predicting the probability of default in the corporate customer can get better results.
Keywords/Search Tags:the New Basel Accord (Basel AccordⅡ), the Internal Ratings-based Approach, Data Mining, Neural Network, Logistic model, Decision tree
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