摘要
信用资产的担保特性是其违约损失率(LGD)最重要的决定因素。通过实证研究挖掘不同担保类型的不良贷款的LGD的结构特征,对商业银行的信用风险管理、信贷投放导向以及信用风险监管,以及对资产管理公司的资产定价都有着重要的意义。本文以LossMetrics数据库中单笔单收的不良贷款数据为样本,对不同担保类型的LGD结构特征进行了详细实证分析,发现抵押担保和组合担保之下的LGD低于保证担保和信用担保之下的LGD,LGD与抵押品的市场价值负相关,LGD与现代企业制度密切相关等很多有价值的结果。
Credit guarantee is the most important determinant for loss given default （LGD） of non-performing loans （NPA）. Investigating the structural characteristics of non-performing loans＇ LGD under credit guarantees, is very helpful for commercial banks in their credit risk management, loans issue-oriented and it is also helpful for the asset management companies in their NPA pricing. In this paper, we use non-performing loan data from LossMetrics, make a comprehensively statistical portrait for the structural characteristics of LGD under credit guarantees. We also get some valuable findings, such as LGD of combinational security and collateral security is less than LGD of guaranteed security and credit security, LGD and collateral＇s market value are negative correlation, LGD is closely related to the modern enterprise system.
出处
《南方经济》
CSSCI
北大核心
2008年第8期28-39,共12页
South China Journal of Economics
基金
国家自然科学基金(Nos.70425004,700221001)的资助
关键词
不良贷款
违约损失率
担保类型
Non-performing loans
Loss Given Default
Types of Security
