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

The financial crisis in 2007 had made the great impact of the global economy, so people have to pay more attention to financial security. With accelerating the process of globalization today, all the countries’finances as the base of economic are more closely. The banks are the core of the entire financial industry, they are very important for the financial security. The international banks have a great improved in risk management and control techniques after they have actively put the new Basel Capital Accord in practice.Banks must improve risk management level to deal with the increasingly complex financial environment and the entry of innovative products and services. In order to strengthen the international cooperation of bank supervision, the Basel Bank Supervisory Committee established the new Basel Capital Accord in June, 2004. The new agreement proposed risk management and capital requirements are closely related..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. The Basel Committee think IRB can effectively improve the risk sensitivity of banks to improve risk management level and enhance security and stability. Commercial banks of China are actively preparations for IRB and some banks have begun to attempt in recent years, but most banks are still in the traditional management modes and methods. In generally, we still have a wide gap in risk management with advanced internationally banks. With foreign banks entering the Chinese market, Chinese commercial banks face the greater pressures. Therefore, Chinese commercial banks should do their best to master the current situation of our risk management and absorb in the spirit of Basel II, then learn from advanced international experience to develop models which are suitable for us, that can be to enhance the level of risk management, international competitiveness and maintain a stable financial environment.For these reasons, this paper hopes to make their thinking and recommendations for our commercial banks that how to construct the IRB system which is suitable for our country by describing the credit risk management, the New Capital Accord, IRB and learning experiences from other countries.In particular, this paper consists of the following five parts:PartⅠ:Introduce the background and the framework of the IRB, then summarizes the international researches about the traditional and modern measurement of the credit risk. At last, introduces the researching approach and the innovations of this paper.PartⅡ:Introduce the credit risk management and the New Capital Accord. For these, we can know how important of the credit risk and capital requirements.PartⅢ:Introduce the theoretical framework and implementation of minimum requirements of IRB. Then introduce the four elements of risk and make the empirical analysis to prove KMV model can be suited for China or not.PartⅣ:Analysis how the Citibank use the IRB and how small and medium banks in Germany develop IRB together. What can we learn from these?PartⅤ:Through the analysis of the status and problems of our commercial banks, put forward some suggestions for how to construct the IRB system.