经济波动下的银行信用风险评级与改进  

The Bank Credit Risk Rating and Its Improvement under the Economic Fluctuation

作　　者：杨军[1] 朱宇[1] 

机构地区：[1]中国建设银行风险管理部

出　　处：《投资研究》2015年第12期146-154,共9页Review of Investment Studies

摘　　要：我国宏观经济增长速度的调整显著地影响了银行对公客户的实际违约率,但是我国现有的银行内部评级结构和方法并未能体现经济波动的影响,银行信用风险评级的准确性逐渐下降。检验发现,银行客户的实际违约率与经济波动之间存在着长期稳定的协整关系,宏观经济变动对银行客户违约率的影响会在较长时期内存在。这提示商业银行在信用风险评级过程中,应该将经济增长指标作为重要因素进行考虑,或者采用较短的时期来估计长期违约趋势,从而改善银行信用风险评级体系的敏感性,提高评级结果的准确性。The macro economy increasing speed adjusting gradually is affecting the default probability of commercial bank, but the present internal bank crediting rating method and structure can＇t show the effect of the economic fluctuation, so as to the accuracy of the credit risk rating is descending obviously. Based on the checking on the rate of economic growth and corporation customers＇ actual default probability, it is found that, a long term co-integration relationship exists between the economic fluctuation and the actual default probability, and the GDP increasing ratio has a certain lag relative to default rate. This suggests that, in the process of constructing default probability model of credit risk, it could regard the indicators of economic growth as an important factor, or use shorter economic Period to estimate the long term default tendency, so as to improve the sensitivity of credit risk rating system of bank, and improve the accuracy of the rating results.

关 键 词：内部评级 违约概率 经济波动 

分 类 号：F832.3[经济管理—金融学]