我国商业银行内部评级的顺周期性研究——基于我国上市公司违约率的分析  

Researching on Procyclicality of Commercial Bank's Internal Rating

作　　者：李向前[1] 贺卓异 

机构地区：[1]天津财经大学经济学院,天津300222

出　　处：《河北经贸大学学报》2014年第2期63-68,共6页Journal of Hebei University of Economics and Business

基　　金：国家社会科学基金重大项目"人民币国际化进程中我国货币政策与汇率政策协调研究"(11&ZD017);天津社会科学基金项目"金融结构变迁背景下宏观审慎政策与货币政策的关系研究"(TJYY12-022)的阶段性成果

摘　　要：金融危机后,各国银行监管机构开始反思传统监管政策存在的问题,并一致认为应当对银行监管的理念和方式进行改革。加强逆周期监管理论的实践与探索是各国银行监管的主要发展趋势。作为银行传统监管手段的内部评级法同样具有顺周期性。缓解我国商业银行内部评级法的顺周期性可以通过扩大违约率计算的时间区间、开展压力测试和引入杠杆率指标等途径。After the financial crisis, bank regulators around the world think that serious problems of the traditional regulatory policy. They all agreed that we should reform the idea and the way of the banking supervision. Strengthening the practice and exploration of reverse cycle regulation theory are the main development trends of banking regulation. As the traditional methods of bank supervision, the internal rating method also has the pro-cyclical. To alleviate our country＇s procyelieality of internal rating method of commercial bank, we can expand the time interval of default rate calculation, conduct stress tests, and introduce the leverage ratio index and so on.

关 键 词：商业银行 顺周期性 内部评级法 违约率 资产收益率 信用评级 压力测试 杠杆融资比率 

分 类 号：F832.33[经济管理—金融学]