《巴塞尔新资本协议》的缺失及改进研究  

A Study on the Limitation of Basel II and the Improvement

作　　者：陈宏[1] 陈及[2] 

机构地区：[1]中国银行总行风险管理部,北京100818 [2]首都经济贸易大学首都经济研究所,北京100026

出　　处：《北京工商大学学报（社会科学版）》2007年第5期22-26,共5页JOURNAL OF BEIJING TECHNOLOGY AND BUSINESS UNIVERSITY:SOCIAL SCIENCES

摘　　要：银行信贷业务中,负债水平是信用风险的主要驱动因素之一。条件违约概率(ConditionalPD)是授信后的违约概率,是对信用风险更准确的测量,应该使用在资本需求计算中。但《巴塞尔新资本协议》(BaselII)尚没有明确规定在资本需求计算中是否使用条件违约概率;这给银行创造了"评级套利"的可能性,即使用债务人较低的现有状态下的PD代替较高的授信后的条件PD来计算监管资本需求。评级的动态特征对风险管理、资产质量监控以及准备金计算等方面也造成影响。为此,以提高风险管理水平、改进监管准确性为目的,本文运用两种构建条件违约概率的方法对此问题进行了分析研究、并就此提出建议。In the operations of bank credit, liability level is one of main driving factors in credit risk. Conditional probability of default （PD） is an obligor＇s PD upon the amount of credit that has been granted. An obligor＇s conditional PD is more accurate to credit risk and should be applied in the calculation of regulatory capital requirement. However, in the International Convergence of Capital Measurement and Capital Standards （Basel II）, there is no explicit regulation on whether conditional PD should be used in the calculation of capital requirement, which gives banks the incentive to engage in ＂rating arbitrage＂, i.e. a bank would substitute an obligor＇s lower PD before credit granting for the higher PD after credit granting to achieve a lower regulatory capital requirement. The dynamic nature of credit rating also has broad impacts on risk management, asset quality control and reserve calculation. In order to enhance the risk management and improve the regulatory accuracy, in this article the authors apply two methods to construct conditional PD and propose possible amendments to Basel II.

关 键 词：动态评级 评级套利 违约概率 条件违约概率 

分 类 号：F831[经济管理—金融学]