Researchonthe Optimization Ofthe Internal Rating System Of Icbc JS Branch Under The New Normal Of Economy

Since the introduction of the internal rating-based approach by the Basel Committee in the Draft of Basel New Capital Accord in 2001,the internal rating-based approach in Basel Capital Accord has been the common standard for the supervision of the credit risk in the global banking industry and has had a far-reaching impact on the operating management of commercial banks in various countries after undergoing many times of perfection and revision and passing the test of business cycle.The internal rating system of ICBC's JS branch consists of two-dimensional rating of customer and debt.Two-dimensional rating system can measure the risk parameters,such as probability of default,loss given default,exposure at default,expected loss,unexpected loss,as well as the related index of internal rating.The measurement results are applied to the whole process of operating management of non-retail credit asset.In recent years,the world economy has entered a period of deep transformation and adjustment,and China has entered a new stage from high-speed growth to medium-high growth.The current internal rating system of ICBC's JS branch can basically cover the risk measurement of the customer dimension and debt dimension,but with the development of economic activities,especially the new economic conditions such as slowing growth and structural adjustment under the new normal economy,some problems in internal rating system gradually emerge,whose main performance is that the accuracy of the basic data is not enough,some system parameters are not in accordance with the actual situation,and there exists deviation in the loss given default.Through verifying the validity and accuracy of the internal rating system,it can be found that from the customer and debt rating dimension,there is obvious difference between measurement result of internal rating and actual default rate as well as loss given default.This paper summarizes the related concept,basic framework and development trend of internal rating based approach,analyzes the current internal rating system of ICBC's JS branch,and expounds the impact of the new normal economy on banking industry and internal rating.Combining with the problems in the internal rating of ICBC's JS branch,it plans to optimize the internal rating system from basic data management,model optimization and validity verification,makes the internal rating system reflect the new development situation under the new normal economy and improves the risk identification and measurement ability of the model.