【作者】 吴莹；

【导师】 陈继勇；

【作者基本信息】 武汉大学 ， 世界经济， 2004， 硕士

【摘要】 2003年4月，巴塞尔委员会发表了经过两度修正的《新巴塞尔资本协议》第三个征求意见稿。由于巴塞尔协议在全球银行业风险管理中的主导性地位，资本协议的调整，尤其是新协议中信用风险衡量方法的引入将给不同经营水平、规模、处于不同经营环境银行的风险管理和资本配置提出新的要求，对各国银行在国际市场的竞争实力产生深远的影响。在我国，虽然中资银行暂不实行新巴塞尔资本协议，但由于大量外资银行的存在，新巴塞尔资本协议将通过影响在华外资银行资本准备提取数量、银行业务拓展方向等方面，进一步加剧在华外资银行与中资银行之间的竞争。关注新资本协议的变化，相应改进和调整我国银行风险管理与资本配置工作，迎接在华外资银行的挑战，已成为适应新资本协议变动，提高银行风险管理水平的现实要求。 本文从新巴塞尔资本协议第三个征求意见稿的主要内容出发，分析了新协议所提出的信用风险衡量方法——标准法，内部评级基础法及内部评级高级法的主要内容，并结合巴塞尔官方对新协议的量化影响调查结果分析了信用风险衡量方法对银行资本准备提取及对银行业务经营的影响，最后根据在华外资银行多为十国集团大型银行的现实，分析了在华外资银行在新巴塞尔资本协议实施之后可能出现的业务经营方向与经营方式的变动以及可能形成的对中资银行的竞争。在此基础上，本文分别以中资银行界、银监会、中国人民银行及银行同业公会的不同角度提出了相应的对策与建议。 本文分为三个部分： 第一章重点阐述了新巴塞尔资本协议的基本框架以及新巴塞尔资本协议的重要创新之一：信用风险衡量——标准法、内部评级基础法、内部评级高级法的主要内容、使用范围及优缺点，为进一步分析信用风险衡量方法对银行资本及业务运营的影响奠定基础。 第二章是本文的重点章节，主要分析了新巴塞尔资本协议信用风险衡量方法对银行资本及业务运营的影响。本章的分析思路主要遵循了信用风险衡量方法对银行资本及业务运营产生影响的基本路径：首先结合巴塞尔委员会量化影响调查结果，分析了这三种信用风险衡量方法对不同地域、不同规模银行在资本准备计提上的影响，同时分析了出现这种影响的原因:紧接着阐述了银行资本准备计提的变动所带来的银行资本及业务运营的变动;最后结合在华外资银行的概况，阐述了在华外资银行使用信用风险衡量方法之后，在银行业务经营策略方向、客户种类选择等方面对中资银行造成的竞争。 最后一章在上述分析的基础上，分别从中资银行界、银监会、中国人民银行及银行同业公会等不同侧面，提出了相应的对策与建议。更多还原

【Abstract】 In April 2003 the Basel Committee issued a third consultative paper on the New Basel Capital Accord (also known as Basel II), which will replace the old Basel Capital Accord that issued in 1988. Because the leading status of the Basel Capital Accord in global banking risk management, the issue of the New Basel Capital Accord will bring huge transformation on risk management, capital collocation and competition capability of international banks. Although our country will not implement Basel II, the foreign banks in our country may adopt methodologies calculating their capital requirements for credit risk, therefore, Basel II can have affect on capital requirements and banking business expansion of foreign banks in China, and make the competition severer between foreign banks and native banks. Therefore, It has great meaning that researching methodologies calculating credit risk in Basel II and their impact for ameliorating risk management in native banks and facing challenge from foreign banks in China.There are three parts in my paper:Firstly, I introduce the main framework of Basel II and the three methodologies calculating credit risk, that is, Standardized Approach, Internal Rating Based Approach Foundation and Internal Rating Based Approach Advanced, analyzing their main content, use range merit and shortcoming.Secondly, I analyze the influence which methodologies calculating credit risk take on bank capital requirement and business expansion of foreign banks in China. This part is key part in my paper, which contains three segments. Above all, I clarify the affect of methodologies calculating credit risk on capital requirement for banks that are different area and different scale. Following, I analyze the change of capital management and business expansion of banks resulting from the alteration of capital requirement. Finally, I study the competition in the management policy direction and client category choice between foreign banks in China which adopt methodologies calculating credit risk and native banks, combined with the general situation of foreign banks in China.Thirdly, on the base of above analysis, I put forward some countermeasure and advice from the points of native banking, China banking regulatory commission, the people’s bank of China and the bank association.更多还原