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,,(,410079)X:,;,,IRB:;;;:F830.33:A:1003-7217(2008)03-0017-05,,,(InternalRatings-Basedapproach,IRB)IRB,,,IRBIRB,PDLGD,CareyHrycay(2001),1118[1];ChassangDeServigny(2002)[2];(Merton,1974)KMVKMV[3]AltmanKishore(1996),()LGD()LGD[4];Altman,Brady,RestiSironi(2005)LGD[5],,(1999),[6];(2002),[7],IRB,(2006),,[8](2007)RAROC[9],IRB,,PD,[10]X:2008-01-15:(70673021)(20060532011):(1965),,,,:2915320085()THETHEORYANDPRACTICEOFFINANCEANDECONOMICSVol.29No.153May12008,,,/IRB,IRBIRB,,0.03%,,:(1),3,,,,(2),,,(3),,IRB,2004,(CreditAssetClassification),,:,,,,,,,,,,:;::rrijij,i,j=1;i,j=2;i,j=3;i,j=4;i,j=5PDi:PDi=5j=3rij(1)LGD,,LGD,LGD=1-,,,,,IRB:,(),,,,IRB,:,,,,:E(147,),n(),A1,A2,,An,Aici,LGDi:;81()20083,1,,ni=1ciE24,,,,3,,,4,,E,minni=1ci(1-LGDi),E,:LGD=1-ki=0ci(1-LGDi)2+E-ki=0ci(1-LGDi)(1-LGDk+1)minni=0ci(1-LGDi),EEa+ba=cicib=minci|ci,Ec0=0LGD0=LGDn+1=1ni=0ciEkki=0ci(1-LGDi)Ek+1i=0ci(12LGDi)E,k=n(2),Ea+b,2a=cici,LGD3,b=minci|ci,E,EE,,,kE,(k+1)E,k+1E-ki=1ci(1-LGDi),(),IRB272:9120083(153),:R=0.121-EXP(-50PD)1-EXP(-50)+0.241-(1-EXP(-50PD))1-EXP(-50)b=(0.11852-0.05478LN(PD))2K=(LGDN((1-R)-0.5G(PD)+(R1-R)0.5G(0.999))-PDLGD)(121.5b)-1(1+(M-2.5)b)RWA=K12.5E(3):R;b;K;M;RWA;EN(.);G(.)2006,,,,,,2004(),,8%,8%,,,,,,,8%,,,(1)(3),IRB20062007111,,20062006(1)1:1(%)0.183.1634.4862.14100(2),,(3)M(3),,8%,IRB2007111(1)1IRB&,:(1)()7,0%20%50%100%(2),(3),(4),,,,,,8%,2007111,12200711102()2008322007111:()123456789101112.3412.3513.0813.6314.5714.9815.1715.1415.8515.9716.01IRB11.0810.9211.5511.7012.2611.0911.1511.2711.5111.4711.48(%)6.626.516.576.075.853.763.663.663.433.433.40,:IRB,1,7%,,,8%14020,,,,IRB:[1]Carey,Mark.,Hrycay,Mark.Parameterizingcreditriskmodelswithratingdata[J].JournalofBankingandFinance,2001,25(1):197-280.[2]Chassang,S.,DeServigny,A.Through2the2cycleEstimates:AQuantitativeImplementation[R].StandardandPoors,workingpaper,2002.[3]Merton,R.,OnthePricingofCorporateDebt:theRiskStructureofInterestRates[J].JournalofFinance,1974,(22):449-470.[4]AltmanE.I.,Kishore,V.AlmostEverythingYouWantedToKnowAboutRecoveriesOnDefaultBonds[J].FinancialAnalystsJournal,1996,(12):57-64.[5]Altman,E.,Brady,B.,etal.TheLinkbetweenDefaultandRecoveryRates:Theory,EmpiricalEvidence,andImplications[J].JournalofBusiness,2005,78(6):2203-2227.[6].[J].,1999,(9):24-32.[7].[J].,2002,(11):12-15.[8],.[J].,2006,(2):72-77.[9].RAROC[J].(),2007,(12):80-84.[10],.[J].,2007,(12):19-22.CalculationofCreditRiskofCommercialBankbytheIRBApproachLIANGLing,PENGJian2gang,WANXiu2hua(CollegeofFinance,HunanUniversity,Changsha,Hunan410079,China)Abstract:Usingtransitionmatrix,theprobabilityofdefaultincommercialbankcanbegot.Basedontheexamineandapproveprincipleofbankcredit,theoperationsofloanbusiness,andtheback2groundofjudicialsystemsinChina,thispaperprovidedamodeltoapplyIRBmethodincredit2riskmeasurement.Furthermore,anempiricalstudyismade,whichcomparesthecapitalrequirementsac2cordingtothemodelpresentedandtheauthoritativeregulationmethodsrespectively.Keywords:Probabilityofdefault;Lossgivendefault;Internalratings2basedapproach;Capitalrequirement1220083(153),: