河北经贸大学学报
河北經貿大學學報
하북경무대학학보
Journal Of Hebei University Of Economics and Trade
2014年
2期
63~68
,共null页
商业银行 顺周期性 内部评级法 违约率 资产收益率 信用评级 压力测试 杠杆融资比率
商業銀行 順週期性 內部評級法 違約率 資產收益率 信用評級 壓力測試 槓桿融資比率
상업은행 순주기성 내부평급법 위약솔 자산수익솔 신용평급 압력측시 강간융자비솔
commercial bank; procyclicality; internal rating based approach; default rate; return on assets; credit rating;pressure test; leverage financing ratio
金融危机后,各国银行监管机构开始反思传统监管政策存在的问题,并一致认为应当对银行监管的理念和方式进行改革。加强逆周期监管理论的实践与探索是各国银行监管的主要发展趋势。作为银行传统监管手段的内部评级法同样具有顺周期性。缓解我国商业银行内部评级法的顺周期性可以通过扩大违约率计算的时间区间、开展压力测试和引入杠杆率指标等途径。
金融危機後,各國銀行鑑管機構開始反思傳統鑑管政策存在的問題,併一緻認為應噹對銀行鑑管的理唸和方式進行改革。加彊逆週期鑑管理論的實踐與探索是各國銀行鑑管的主要髮展趨勢。作為銀行傳統鑑管手段的內部評級法同樣具有順週期性。緩解我國商業銀行內部評級法的順週期性可以通過擴大違約率計算的時間區間、開展壓力測試和引入槓桿率指標等途徑。
금융위궤후,각국은행감관궤구개시반사전통감관정책존재적문제,병일치인위응당대은행감관적이념화방식진행개혁。가강역주기감관이론적실천여탐색시각국은행감관적주요발전추세。작위은행전통감관수단적내부평급법동양구유순주기성。완해아국상업은행내부평급법적순주기성가이통과확대위약솔계산적시간구간、개전압력측시화인입강간솔지표등도경。
After the financial crisis, bank regulators around the world think that serious problems of the traditional regulatory policy. They all agreed that we should reform the idea and the way of the banking supervision. Strengthening the practice and exploration of reverse cycle regulation theory are the main development trends of banking regulation. As the traditional methods of bank supervision, the internal rating method also has the pro-cyclical. To alleviate our country's procyelieality of internal rating method of commercial bank, we can expand the time interval of default rate calculation, conduct stress tests, and introduce the leverage ratio index and so on.