巴塞尔新资本协议内部评级法研究

湖南大学硕士学位论文巴塞尔新资本协议内部评级法研究姓名：向实申请学位级别：硕士专业：金融学指导教师：彭建刚20041030IVaRIIAbstractTheNewBaselCapitalAccordisacompletelynewcapitalframeworkofwhichoneofthegreatestinnovationistheInternalRatings-BasedApproach(IRB)thatisdesignedtocalculatecapitalrequirementforcreditrisk.TheIRBapproachrequirebanktocalculatecapitalrequirementonconditionthatthebankcanmeetsomeminimumrequirements.Thecalculationcontainsthreesteps:firstly,bankshoulddivideassetsintodifferentexposuresaccordingtodifferentpotentialriskcharacters;secondly,bankcanuseinternalratingssystemandriskmanagementmodeltoevaluateriskelementsthatincludeprobabilityofdefault,lossgivendefault,maturityandexposures;thirdly,bankshouldinputtheseresultsintotheriskweightfunctionsthatareprovidedbyBaselcommitteeandobtainthecapitalrequirement.Baselcommitteehopedthatthecapitalrequirementwithmoresensitivitycouldrestrictbank’sbehaviorandinducebanktoimproveriskmanagement,andfinallytheentirebankingsystemwouldbesafenessandstability.Duringthedesigningprocedure,Baselcommitteestudiedlotsofmoderncreditriskmodelsthatweredevelopedbyinternationalbankinginrecentyears,andadoptthesameideawhichincludeutilizingVaRforcalculatecapitalrequirementandtakeassetportfoliosintoaccountaboutdealingwithcreditrisk.Furthermore,thesemodelswerebroadlyusedinthedeductionofriskweightfunctionsandmaturityadjustmentfactors,granularityadjustment,andtheevaluationofriskelements.Atthesametime,IRBapproachhassomeproblemsthatneedtoresolve,whichincludethecomplexityofIRBapproach,theinfluencetobank’sactualholdingcapital,theinfluenceofdoubleframeworktobankingsystem’sstabilityandreinforcingprocyclicalityeffect.Bankingisariskyindustry,soitscorecompetitionabilityistheriskevaluationandmanagement.Asthesummarizationofadvancedexperienceofinternationalbankingaboutriskmanagement,IRBapproachprovidesguidancetochina’sbankingabouthowtostrengthenriskmanagement.China’scommercialbankcanknowabouttheideaandtechniqueofriskmanagementofinternationaladvancedbank,whichwillhelpchina’sbankingtransformmanagementnotionandconsolidateriskmanagementconsciousness.China’sbankingcandirectlyconformtotheapplicationrequirementofIRBapproachonthebaseofchina’sactualenvironmentinordertoconstructinternalratingsystemanddevelopriskmanagementmodelthatiscompatibletochina’sfinancialsituation,whichwillhelpchina’sbankingsaveresourceandrealizequicklydevelopment.IIIKeywordstheNewBaselCapitalAccord;theInternalRatings-BasedApproach;riskmanagement;moderncreditriskmodel1______2111.12090198819961999620011200342007(StandardisedApproach,SA)(TheInternalRatings-BasedApproach,IRB)200271410004250430%WTO1.220011TheSecondConsultativeDocumentCP2[1][2][3][4]TheThirdConsultativeDocumentCP3[5]Wilde(2001)[6]FreyMcNeil(2002)VaRVaR(sub-additivity)VaRVaR[7]JacksonPerraudinSaporta(2002)[8]AltmanSaunders(2001)[9]Kirstein(2002)3[10]BorioFurfineLowe(2001)[11]AllenSaunders(2002)[12]ErvinWilde(2001)[13]Jackson(2001)[14](2002)[15](2003)[16](2002)[17](2003)[18][19][20](2002)[21]1.342[5](1)(2)(3)(4)2.152.1.1specialpurposeentitySPE50050002.1.2(QualifyingRevolvingRetailExposures,QRE)6101002.1.32.2(PD)(LGD)(EAD)(M)PD2.2.12.2.1.170.03%2.2.1.22.2.1.32.2.1.4152.5352.2.2PDLGDEAD0.03%(EL)PDLGD82.2.3/LGD90%5100%1250%300%400%99%2.32001CP22003CP32.3.1CP22.3.1.1[2]{}LGDMPDbPDBRWLGDRW×−×+××=5.12))3()(1()()50/((min(2.1)(2.1)BRW(benchriskweight)3LGD50%b(PD)PDMLGDEAD100%LGD100PD1%PD0.01min44.0/)1(047.01()288.1)(118.1(5.976PDPDPDGNBRW−×+×+××=(2.2)(2.2)N(x)01xG(z)9N(x)=zx)x(N1−PD2.12.1PD[2]PD(%)BRW0.03140.05190.1290.2450.4700.5810.710011252192324653311048215588206253(1+b(PD)(M-3))=1RW{}LGDPDBRWLGDRW××=5.12)()50/(min(2.3)LGD=50%2.1051015207006005004003002001000PD(%)(%)2.1[2]102.3.1.2(2.3)44.0/)1(047.01()766.0)(043.1(5.976PDPDPDGNBRW−×+×+××=(2.4)PD2.2LGD50%2.22.2PD[2]PD(%)BRW0.0360.0590.1140.2210.4340.5400.75016421043137519510310154012047930605051015207006005004003002001000PD(%)(%)2.2[2]112.3.2CP32.3.2.1CP3[5]))()5.2(1()(5.111))999.0(11)((PDbMPDbGPDGNLGDK×−+××−××−+−×=ρρρ(2.5)2))log(05898.008451.0()(PDPDb×−=(2.6))1)1(1(24.0)11(12.0)(50505050−×−−×−−−−×+−−×=eeeePDPDPDρ(2.7))45/)5(1(04.0)()(−−×−=SPDPDsmeρρ(2.8))1)1(1(3.0)11(12.0)(50505050−×−−×−−−−×+−−×=eeeePDPDPDhvcreρ(2.9))PD(b)PD(ρsme)PD(ρhvcre)PD(ρS100)x(e)xlog()x(N01x)z(Gz)x(N=x)x(N1−2.3.2.2(1)))999.0(11)((GPDGNLGDK×−+−×=ρρρ(2.10)15.0=ρ(2.11)(2)LGDPDGPDGNLGDK××−×−+−×=75.0))999.0(11)((ρρρ(2.12))1)1(1(11.0)11(02.0)(50505050−×−−×−−−−×+−−×=eeeePDPDPDρ(2.13)12(3)))999.0(11)((GPDGNLGDK×−+−×=ρρρ(2.14))1)1(1(17.0)11(02.0)(35353535−×−−×−−−−×+−−×=eeeePDPDPDρ(2.15)2.4[5](1)7(2)IRB13(3)(4)IRBIRBIRBIRB3(5)IRB57(6)14(7)IRB(8)(9)IRB1533.120903.1.1VaRVaRValueatRiskVaRVaRVaRVaRVaRVaRVaR99.95%(probabilitydensityfunctionPDF)(targetsolvencyprobability)(losscoveragetarget)VaRVaRVaR16===VaR3.199.9%VaR3.1VaR3.1.21952Markowitz1[22]2070Altman(1971)[23]Altman(19731984)[24,25]FrydmanAltmanKao[26](risk-bucketingapproach)172090GordyGordy(2000)[27,28]Gordy(1)CreditMetrics™(2)(granularity)(fine-grained)CP23.218JPMorganCreditMetrics™KMVCreditMonitor™CSFBCreditrisk+MckinseyCreditPortfolioView™KPMGLAS™(PDF)[29](1)(Defa