The Applied Research On The Internal Ratings-based Approach Of The New Basel Accord In Hunan Branch Of ICBC

Basel II Accord allows banks adopt the Internal Rating-Based Approach(IRB),which have largely changed the traditional risk management, improved risk measuretechniques and risk management framework. First, focus on the contents of the IRB andimplementation requirements, includes the core concept such as the probability ofdefault(PD), loss given default(LGD), expected loss(EL), unexpected loss(UL) etc, andthe method of Industrial and Commercial Bank of China Hunan branch used. Second,describes the current situation of Industrial and Commercial Bank of China(ICBC)Hunan branch, and gives a comprehensive description on the application of the IRB to acompany, analysis one of the company’s loan, judge to use internal rating modelscustomer have the ability to obtain loans, risk management and the conclusions of riskprediction. Finally, from the implementation of the guarantee and the significance todiscourse the IRB is used in the credit IRB approval, loan pricing, credit decisionmaking, policy formulation, determine the economic capital EC, based on RAROCassessment, quatify the minimum rate of return on capital management and otheraspects of the role.Industrial and Commercial Bank of China(ICBC) Hunan branch is in the earlyperiod of the internal rating system, but also faces many difficulties in practicalapplications. How to use internal ratings-based approach effective, combined with theadvanced international banking experience and scientific methods, and improve ICBCinternal rating, achieve in line with Basel II requirements on risk managementtechniques to improve the level of credit risk management is the most important task ofIndustrial and Commercial Bank of China(ICBC) Hunan branch.