略论新资本协议框架下商业银行信用风险管理摘要对商业银行来说，信用风险是其经营管理的重要内容，可以说，贯穿其发展的始终。上世纪末巴林银行的倒闭和亚洲金融危机等一系列的金融事件，使我们对存在其中的信用风险管理问题进行深刻反思的同时，更是极大地丰富和发展了商业银行信用风险管理的理念和技术，并最终促成了侧重于银行信用风险管理的以三大支柱为核心的新资本协议的出台。随着锐不可当的金融自由化、全球化趋势的加强，各国银行业的监管措施、监管力度和商业银行本身的信用风险管理很难再适应银行所面临的日益复杂的信用风险环境，特别是对于负重前行的我国商业银行来说，提升信用风险管理水平势在必行。本文拟以六个章节来阐述在新资本协议框架下，通过分析我国商业银行信用风险管理的现状和问题，并利用现代信用风险度量模型技术，以合理的对策和措施来有效的改进和提升信用风险管理水平，以适应新资本协议关于信用风险管理的新要求和新趋势，并迎接新资本协议带来的挑战。关键词：商业银行、信用风险、新资本协议、三大支柱Credit-RiskManagementofCommercialBankUndertheBaselⅡABSTRACTThecreditriskisoneofthemostimportantobjectiveslyingthroughthedevelopmentofcommercialbank.Inthelatelastcentury,aseriesoffinancialeventssuchasthebankruptcyofBahrainBankandAsianfinancialcrisismakesusreflectonthemanagingCredit-Risk,developandstrengthgreatlytheconceptionandtechnology,eventuallybringingabouttheBaselCapitalAccordIIthatfocusesontheCredit-RiskofManagement,involvingThree-Pillar.Withthereinforcementoffinancialliberalizationandglobalization,itisveryhardforthesupervisionforceofallcountriesbankindustryandevenmanagingCredit-RiskofcommercialbankitselftoadopttheincreasinglycomplicatedenvirionmentofCredit-Risk.ItisdefinitelynecessaryforourdomesticcommercialbankstrugglingforwardtoelevatetheabilitytoCredit-Riskmanagement.Throughsixchapters,thethesisisgoingtoabidebytheframeworkoftheBasilII,analyzethesituationandtheproblemsofourdomesticcommercialbank,utilizethemoderntechnolyofCredit-RiskmeasuremodelandeffectivelyimproveCredit-Riskmanagementbyreasonablemethodsandmeasures,whichenablesustoadoptthenewrequiresandtrendofCredit-RiskmanagementundertheframeworkoftheBaselCapitalAccordII,welcomethechanllengefromit.KeyWords:Commercialbank、Credit-risk、BasilⅡ、Three-pillar目录声明······················································2摘要······················································3ABSTRACT···············································4第一章商业银行信用风险···································71.1信用风险概述······································71.2信用风险管理及目标································71.3商业银行信用风险管理的必要性······················7第二章新资本协议框架····································92.1新资本协议产生背景和发展··························92.2新协议的核心：三大支柱····························9第三章新协议下信用风险度量模型··························123.1现代信用风险度量模型·····························123.2信用风险度量其他新技术概览························13第四章商业银行信用风险测度方法及应用···...
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