The New Basel Capital Accord and Bank's Internal Credit Risk Management

摘要

Credit risk is the most important component of bank's overall risk. This paper introduces the system of credit risk measuring in the New Basel Capital Accord from three aspects: the minimum capital requirements, the credit risk measurement methods and the treatment of credit risk mitigation technique. Then introduce bank's internal credit risk management system, which include the economic capital allocation system and the calculation of risk-adjusted returns on capital. At last, describe the construction of internal credit risk models from several aspects: establish of internal credit rating structure, estimation of default probability, loss given default and asset correlation, and determination of portfolio credit loss distribution.