Application Research About The Internal Ratings-Based Approach Of The New Basel Capital Accord In China's Commercial Bank

As the core contents of the New Basel Capital Accord (NBCA), Internal Ratings-Based Approach (IRB) represents the developing trend of the risk management of international banks. Some advanced international banks had set up IRB system and got notable effects in the risk management. A few domestic commercial banks also speed up the execution pace of IRB approach. Therefore, study on the IRB is of important theoretical and practical significance.The purpose of this paper is taking the angle of credit rating, to find out the differences between the current domestic commercial bank credit rating system and the IRB of the New Basel Capital Accord by the way of theory analysis and case research. And tries to provide some valuable suggestions to establish the internal rating system that fits China's banking industry.Starting from the basic theory and the logical frame, the credit risk models of foreign advanced banks are compared and analyzed in the paper. Then it reviews the history of the credit risk management about China's commercial banks, and evaluates the current rating method as well as the development characteristics, to find out the gap between the reality and the IRB of the New Basel Capital Accord.Secondly, the paper tries to solve the practical problems of IRB in our country through constructing the EL and UL models. Meanwhile, an empirical analysis about the current credit rating system of a state-owned shareholding bank is introduced within the paper. By comparing it with the IRB requirements, explains the superiority of the IRB further more.Finally, on the basis of contacting the current situation, the feasible countermeasures are made in the paper which is about building credit risk management system in our country. Include establishing the data system, the approval process, the external system and the professional team, and so on. I humbly hope it will be help to promote the development of risk management of domestic commercial banks, thus to develop steadily in internationalized and pluralistic market.