摘要
本文从商业银行内部评级的角度出发,针对现阶段我国中小企业信用风险的特征和存在的问题,首先提出了一个较为全面覆盖我国中小企业信用风险特征的度量指标备选池,其后结合巴塞尔协议Ⅱ中内部评级法的标准和方法论进行分析,最终在实证中反复筛选出包含六个维度的有效度量指标体系,为我国商业银行度量中小企业信用风险的指标选取提供理论框架和实证支持。
This article uses the IRB method for commercial Banks,analyzing the characteristics and problems of the credit risk of SMEs.Then,we put forward a comprehensive alternative pool of metric index which cover most of the credit risk of SMEs.Finally,combined the IRB's standards and methodology according to Basel II,we obtain an effective measurement index system of six-dimensions,which will have a practical reference to the significance of SME credit risk index selection and measurement for our country's commercial bank.
出处
《金融监管研究》
2012年第7期26-39,共14页
Financial Regulation Research
基金
教育部人文社会科学规划项目(09YJAZH077)
中央高校基本科研业务费专项资金(JBK120115)资助
关键词
中小企业
信用风险度量
指标体系
商业银行
Small and medium-sized enterprise(SME)
Credit risk measurement
Index system
Commercial bank
