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我国银行贷款违约损失率影响因素的实证分析 被引量：6

Empirical Research on Impact Factors of LGD of China's Commercial Banks' Loan
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摘要 本文利用某国有商业银行的贷款数据资料,运用主成因子分析对贷款样本的LGD进行统计分析并确定影响因素的重要性及排序。本文结论为:影响我国商业银行贷款LGD的因素依次为企业的信用等级、贷款担保方式、企业的行业属性;企业规模、企业经济类型、贷款担保方式等因素对LGD的影响都很弱。此外,本文验证了PD和LGD之间存在一定的关系,并非相互独立。 This paper gets samples of credit loan from china＇s commercial bank and uses the main factor analysis to find the main factors that impact LGD of China＇s commercial banks＇ loan. The order of factors is credit rating grade of creditor, guarantee condition of credit and industrial category. Size of creditor and others has little impact. Also, the empirical research concludes that correlation exits between LGD and possibility of default.
作者 汪办兴
机构地区 复旦大学经济学院世界经济研究所
出处 《上海财经大学学报》 CSSCI 2007年第3期54-60,共7页 Journal of Shanghai University of Finance and Economics
关键词 商业银行 违约损失率 影响因素 实证分析 commercial bank loss given default empirical research
分类号 F830.5 [经济管理—金融学]
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参考文献17

  • 1[1]Range of Practice in Banks'Internal Rating System,Model Task Force,Basel Committee,June.2000.
  • 2[2]Greg,M.Gupton,Roger.M,Stein,Feb.2002,LossCalc:Model for Predicting Loss Given Default,Special Comment,Moody's Investors Service.
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  • 10[8]Frye.J.Depressing Recoveries,Chicago Fed working paper,an abridged version appeared in Risk[D].NBER working pape,2000.

二级参考文献45

  • 1Basel Committee, Potential Modifications to the Committee's Proposals, 5 Nov., 2001.
  • 2Basel Committee, Results of Quantitative Impact Study 2.5, 25 June, 2002.
  • 3Basel Committee, New Basel Capital Accord CP3, April 2003.
  • 4Basel Committee, Quantitative Impact Study 3 - Overview of Global Results, 5 May, 2003.
  • 5Basel Committee, Modifications to the capital treatment for expected and unexpected credit losses in the New Basel Accord, 30 Jan. 2004.
  • 6Basel Committee, The Internal Ratings - Based Approach, Supporting Document the CP2 , Jan. 2001.
  • 7Basel Committee, Range of Practice in Banks' Internal Ratings System, Jan. 2000.
  • 8OCC, US, Rating Credit Risk, Comptrollers Handbook, April 2001.
  • 9Working group led by Arturo Estrella, Credit Ratings and Complementary Sources of Credit Quality Information, Basel Committee Working Papers, No. 3, August 2000.
  • 10Mark Carey, Federal Reserve Board, Some Evidence on the Consistency of Banks' Internal Credit Ratings.

共引文献58

同被引文献38

引证文献6

二级引证文献17

上海财经大学学报
2007年 第3期

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