Credit Risk-weighted Assets Calculation System Design And Implementation

Risk-weighted assets (RWA) calculation system is a important component inChina’s banking implementation of Basel capital agreement, has the very importantrole. Credit risk-weighted assets calculation is the core component of the whole systemof calculation, its calculation processes is complicated, needed to consider differentkinds of credit risk exposure, to base on different types of credit risk rating model, touse many IT source system providing a large number of data, to calculate complex data(complex calculation rules and mass data calculation processing), etc. In China’scommercial Banks, the proportion of credit risk-weighted assets is about85%in.thewhole bank risk-weighted assets (including credit, market and operation risk).This thesis is in view of the above questions, with a domestic commercial bankcredit risk RWA calculation of designing and realizing the system as the main researchobject, in the thorough analysis new Basel capital agreement, China banking regulatorycommission (CBRC) publish a new protocol implementation guidelines on the basis ofthe business requirements and data requirements for a detailed analysis and in the dataintegration theory and technology, data modeling (DM) theory and technology, businessrules engine management theory, business intelligence technology based on the analysisof the application, and finally for the commercial bank building completed the creditrisk weighted assets calculation and report system. Main content:1． Brief analysis of the implementation of the new capital agreement credit riskcalculation of the background and significance.2．In retail risk-weighted assets calculated as an example, the retail risk assetsdetermination, calculation rules, the parameter setting of calculation requirements, aswell as data quality, report forms and auditing and other requirements are analyzed, andon the basis of the brief description to meet these requirements of information systemand the data content, refining out detailed data needs.3．The system architecture adopted data interface layer, application processinglayer and show layer three functional stratification to realize each function of RWAsystem function, the data is divided into four layers DM1-DM4, in order to meet thedata quality, data auditing and calculation, statement function. The whole system basedon the commercial bank Teradata data warehouse and RIDE report integrated environment, all kinds of calculation and data quality inspection with Java language andSQL language realization, and deployed in Weblogic application server, the userthrough the browser to complete the system management and application maintenanceand use.