摘要
根据银监会最新文件要求,"银行内部评级应具备稳健的风险区分和排序能力,并准确量化风险"。本文从中小企业经营管理中的特有风险因素出发,在构建中小企业信用风险度量指标体系的基础上,采用符合巴塞尔协议内部评级法(IRB)要求的风险区分能力检验和稳健性检验的模型检验方法,构建具备稳健的风险区分和排序能力的信用评分模型。同时,针对评分模型完成校准过程,开发出符合银行实际情况和中小企业特殊情况的主标尺和映射函数,使评分模型的输出结果与"现实"的违约率(PD)以及评级结果形成较好的映射关系,并采用相关的检验方法对违约率的准确性进行验证,从而构建完整的具备稳健的风险区分和排序能力并能准确量化风险的内部评级模型。本研究对银行构建内部评级体系以及提高中小企业信用风险管理水平提供了实证的支持,具有一定现实参考意义。
Based on their own risk factors of SMEs＇ management and Credit Risk measurement index system of SMEs＇ Loans, this paper builds SMEs credit scoring model by validating methods and transformation methods for the model according to Basel II ,which has rigorous statistical significance and good predictive power. Through the calibration of probability of default models to projecting outputs of models to actual defaulting probabilities of obligors, and map them to risk grades governed by a master scale covering all portfolios of a bank. This study builds an internal rating system of SMEs for commercial bank, which improve the management level of credit risk according to empirical support.
出处
《投资研究》
北大核心
2013年第5期3-16,共14页
Review of Investment Studies
基金
教育部人文社会科学规划项目09YJAZH077资助
中央高校基本科研业务费专项资金JBK120115资助
