Risk-weighted Assets Computing System Design And Implementation Of Commercial Bank

Risk-weighted assets(R WA) calculation system is a i mportant component in China’s banking implementation of Basel capital agreement, has the very important role. Credit risk- weighted assets calculation is the core component of the whole system of calculation, its calculation processes is com plicated, needed to consider different kinds of credit risk exposure, to base on different types of credit risk rating m odel, to use many IT source system providing a lar ge number of data, to calculate com plex data(complex calculation rules and mass data ca lculation processing), etc. In China’ s commercial Banks, the proportion of credit risk-weighted assets is about 85% in.the whole bank risk-weighted assets(including credit, market and operation risk).This thesis is in view of the above que stions, with a domestic commercial bank credit risk RWA calculation of designing and re alizing the system as the main research object, in the thorough analysis new Basel capital agreement, China banking regulatory commission(CBRC) publish a ne w protocol implementation guidelines on the basis of the business requirements and data requirements for a detailed analysis and in the d ata integration theory and technology, data modeling(DM) theory and technology, business rules engine management theory, business intelligence technology based on the analysis of the application, and finally for the comm ercial bank building com pleted the credit risk weighted assets calculation and report system. Main content:1.Brief analysis of the implementation of the new capital agreem ent credit risk calculation of the background and significance.2.In retail risk-weighted assets ca lculated as an exam ple, the retail risk assets determination, calculation rules, the parameter setting of calculation requirem ents, as well as data quality, report forms and auditing and other requirements are analyzed, and on the basis of the brief description to m eet these requirements of inform ation system and the data content, refining out detailed data needs.3.The system architecture adop ted data interface layer, application p rocessing layer and show layer three functional strati fication to realize each function of R WA system function, the data is divided into f our layers DM1- DM4, in order to m eet the data quality, data auditing and calculation, statement function. The whole system based on the commercial bank T eradata data warehouse and RIDE re port integrated environment, all kinds of calculation and data quality inspection with Java language and SQL language realization, a nd deployed in W eblogic application server, the user through the browser to com plete the system management and application m aintenance and use.