Simulation of Basel II Credit Risk Models:A Comparison of Standardized Approach,FIRB Approach and AIRB Approach

Compared with Basel Ⅰ,Basel Ⅱis with more flexibility,which mainly reflected in providing a variety of options for the bank in the risk measuremeat models.The core pillars of Basel Ⅱis the capital adequacy requirements,while risk measurement model is the basis for calculating capital adequacy ratio.This paper makes an empirical simulation on the asset portfolio and risk parameters of commercial banks,comparative studies the standardized approach,the primany internal rating and advanced internal ratiys of the measurements of credit risk.The research shows:siqnificant numerical differences exist in the three metric model of weighted risk assets;in the asset portfolio of commercial bank,the ratio of different kinds of loans in total assets significantly impacts the differences of the model results.