现代信用风险度量模型的实证比较与适用性分析被引量：8

Empirical Comparison Analysis and Applicability of Current Credit Risk Measurement Models

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摘要本文通过实证比较分析发现,现代信用风险度量模型对银行贷款的违约率、贷款损失和损失率的预测结果的差异性较大;但信用监测模型和信用风险附加法所预测的经济资本配置比例不仅符合巴塞尔协议对银行贷款经济资本的要求,也略大于实际应该配置的比例,实证表明了它们对度量我国商业银行贷款组合的信用风险具有较好的适用性。此外,本文也充分验证了借款人信用等级的不同,银行贷款经济资本配置的比例会有显著性的差异。 By means of empirical comparison, the paper finds that the forecast outcome of possibility of default and ratio of loss of banking loan with current credit risk measurement models is very distinct. The proportions of economic capital requirement that credit monitor model and credit risk model forecast not only are correspond with what BIS requires for banking loans, but also are slightly above actual proportion of economic capital requirement, which demonstrates that they can be applied for measuring credit risk of Chinese banking loans portfolio. In addition, the paper fully demonstrates that proportions of economic capital requirement for banking loan are greatly distinct with different rating category of borrowers.

作者朱小宗张宗益耿华丹吴俊

机构地区重庆大学经济及工商管理学院

出处《管理工程学报》 CSSCI 2006年第1期88-93,共6页 Journal of Industrial Engineering and Engineering Management

关键词现代信用风险度量模型银行贷款新巴塞尔资本协议实证比较适用性分析 current credit risk measurement models banking loan new Basel Capital Accord empirical comparison analysis of applicability

分类号 F830.4 [经济管理—金融学]

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