Construction And Analysis On The Corporate Internal Ratings-Based System Of Chinese Commercial Banks

In recent years, influenced by the decline in economic growth, transformation and upgrading, domestic weak demand and excess capacity and other other various of adverse factors, the credit assets and risk management of Chinese commercial banks facing multiple challenges, and be badly in need of continuous improvement of risk management and business innovation, in order to improve the risk control level and the risk sensitivity of regulatory capital.The introduction of Basel ? and the Basel ?, represents the development direction of the modern banking risk management, and enables banks control risk more comprehensively and objectively, the credit risk management level of domestic bank will be effectively improved by the implementation of the internal ratings-based approach. The implementation of the internal rating method is the regulatory requirements of the CBRC, but also the driving force to improve their own risk control and capital management.As the focus of the new capital accord, the Internal ratings-based approach is a two-dimensional rating system, including customer rating and debt rating. This is requirements of the New Basel Capital Accord to the internal ratings-based approach, aiming at providing a more scientific and comprehensive credit risk control measures for commercial banks. For the internal rating system, commercial banks need to determine the asset credit risk and then calculate the capital adequacy ratio, the ultimate goal is the determination of four parameters:Probability Of Default(PD), Loss Given Default (LGD), Exposure At Default (EAD) and Maturity(M).The research subject of this paper is to put forward countermeasure of system construction and perfect, according to the requirement of IRB system and IRB system construction, in allusion to the problems of IRB system of commercial bank's corporate customers. According to the research of internal rating based two-dimensional evaluation system methodology and rating model, put forward the engineering implementation schema on internal rating model library design and the key calculation. In this paper, through the flexible model configuration and factor,parameter settings, we can be able to make quick response at the optimizing adjustment of model calculation, in order to improve the maintainability and extensibility of IRB system.This paper firstly adopt the clustering method to classify and design the customer rating model, make a modular disassembly and assembly on a series of rating model, including:rating model identification, parameter calculation, calculation of rating and default probability calculation; Then process a centralized and parameterized management design on debt rating key measurement indicators and debt rating factor, for the requirement of faster adapting to the system management and the external environment change; Finally, the construction of internal rating system use were analyzed and summarized, and suggestions are proposed to the system the research emphasis and direction.