内部评级法的技术要求与实验策略——新资本协议核心方法研究  

Technical requirements & implementation strategies of the internal rating-based approach

作　　者：武剑[1] 刘海龙[1] 潘俊武[1] 杨雨[2] 

机构地区：[1]中国建设银行,北京100032 [2]北京理工大学,北京100081

出　　处：《上海市经济管理干部学院学报》2005年第4期42-47,共6页Journal of Shanghai Economic Management College

摘　　要：本文介绍了巴塞尔新资本协议的形成背景、核心内容和突出特点,较为系统地论述了内部评级法,包括内部评级法的基本要素、基本结构、关键指标以及实施内部评级法的技术要求,阐述了中国银行业实施内部评级法的战略意义和可能遇到的主要障碍,在此基础上提出了我国银行业实施新资本协议和内部评级法的策略选择。In this thesis ,the background, core contents and striking characters of the new Basel Capital Accord are introduced in detail. The internal rating-based approach is discussed systematically, including the essential elements and structure, key indicators and technical requirements for implementation of the internal rating-based approach. Finally,the strategic meaning and some impossible encountered barriers for Chinese banks to implement the internal rating-based approach are provided, on the basis of which, the implementation strategies match Chinese bank industry are put forward.

关 键 词：巴塞尔新资本协议 内部评级法 违约概率 违约损失率 违约风险暴露 

分 类 号：F830.33[经济管理—金融学]