建立有效的银行内部信用评级系统

∗20011162004PDprobabilityofdefault∗(No.70071045)第1／8页第2／8页第3／8页第4／8页σVAAσEV)rckA(VfAσEσ)(rckVgAAσcVkEEσAVAσADPTVEσ))((1−DD=第5／8页)(1VEDPTBasel30[5]4第6／8页第7／8页:3-4,1995.3Moody’sInvestorsService.RatingMethodology,Riskcalcforprivatecompanies:Moodydefaultmodel.May2000.4MichaelCrouhyAcomparativeanalysisofcurrentcreditriskmodelsJournalofBankingandFinance1-2,2000.BaselCommittee.RangeofPracticeinBank’sInternalRatingSystems2000.1BuildingEfficientInternalRatingSystemRongjunLIU1ShouTAO1XiaoguangYANG11LaboratoryofManagement,DecisionandInformationSystems,ChineseAcademyofSciences,Beijing100080BinCHEN22DepartmentofRiskManagement,BankofChina,BeijingAbstractManagingandcontrollingthecreditriskviainternalriskratingsystemisaninternationaltrend.Inthispaper,acomprehensivesurveyontheprinciplesandmethodologiesoftheratingsystemisgiven,thepossibledifficulttoestablishinternalriskratingsystemsinChinaisanalyzed,andthesomerelevantpolicysuggestionsarepresented.Keywordsinternalriskrating,principle,methodology第8／8页