Basel Ⅱ在信用风险监管方面提出了一系列新的监管框架，其重要创新就是提出了包括内部评级法在内的计量风险新方法。IRB法要求银行以重要风险要素的内部估计值作为计算资本要求的参数，这大幅度提高了银行业务对于风险的敏感性。银行对信用风险进行内部的识别和计量依赖于对借款人和交易风险的评估，包括对借款人违约可能和违约发生时的损失估计。对于借款人的评级主要体现在客户违约概率PD上；对于债项的评级主要体现在违约损失率LGD上。建立以PD、LGD为核心的二维信用评级体系，是银行正确地全面实施巴塞尔新资本协议的重要保障，也是银行实行全面风险管理的基础和核心。处于第三梯队的城市商业银行，其风险管理水平相对低下，亟待提高。天津银行作为城市商业银行，目前尚没有内部信用评级体系。为了改变天津银行内部信用评级缺失状况、满足本行自身全面风险管理需要以及为以后申请实施巴塞尔Ⅱ打下基础，本文对天津银行建立内部信用评级体系相关问题进行了研究。本文认为天津银行内部评级建设应以分四步走的方式建立完善的内部信用评级体系。文章重点分析了评级模型的主要建模方法、流程设计、具体应用等问题，并以制造业为例，论述了天津银行建立内部评级的模型选择、建模方法、体系设计等内容，以期建立起天津银行内部评级系统。

The New Basel Capital Accord for credit risk supervision put forward a series of new regulatory framework, an important innovation is the proposed new method of measurement of risk, including the Internal Ratings-Based Approach. IRB approach requires banks to estimate the risk parameters; this will greatly increase the risk sensitivity for banks. Identification and measurement of banks' internal credit risk depends on the borrower and transaction risk assessment. For the borrower's rating is mainly reflected in the borrower's default probability, for the rating of the debt mainly reflected in the loss given default. Creating a two-dimensional internal credit rating system in PD and LGD, is an important guarantee for the bank to correct the full implementation of the new Basel Capital Accord. This is also the basic requirement for banks which are able to implement the comprehensive risk management.As the third grade, city commercial banks' risk management capability is poor. Bank of Tianjin has not established an internal credit rating system. The paper in accordance with the objectives such as In order to change the situation of the lack of an internal credit rating and to Meet the needs of the Bank's own comprehensive risk management to study the construction of the Tianjin banks' internal credit rating. We believe that Tianjin banks' internal rating construction should be based on four steps to establish a sound internal credit rating system. The article focuses on the modeling method of rating model, process design, and specific applications. Making manufacturing as an example, discusses the Tianjin bank internal rating model selection, modeling method, system design, in order to establish Tianjin banks' internal rating system.