建立我国贷款企业违约率测度的多维度分析体系研究  

On Building a Multi-Dimension Measurement System of Probability of Default (PD) for Chinese Loan Borrowing Firms

作　　者：管七海[1] 

机构地区：[1]北京大学-招商银行博士后科研工作站

出　　处：《金融论坛》2005年第8期41-45,共5页Finance Forum

基　　金：国家自然科学基金项目(项目号70171005);国家十五攻关项目(项目号2001BA102A06-07-01)。

摘　　要：目前对各个信用等级违约概率进行简单历史平均值的统计测度,不足以精确说明中国贷款企业违约的实际状况。论文以巴塞尔新资本协议违约率测度为基础,针对中国贷款企业的实际特点,提出了能精确刻画企业违约状况的多维度违约率分析体系,即企业的违约率测度要以信用等级违约率为核心,行业违约率、地区违约率、规模违约率、不同所有制违约率以及企业违约频率为补充的多维度体系,同时引入相应的定量指标及测算公式,并利用全国跨银行的贷款企业数据库,实际测算了我国短期贷款企业以上各种维度违约率的表现,结果表明:以上违约率在我国短期贷款企业所在的不同行业、不同地区、不同规模和不同所有制之间有显著差异性。The current statistic measurement of PD of various credit ratings for simple history-based averaged value can not accurately spell out the real situation of PD in Chinese loan borrowing firms. Based on the Probability of Default (PD) Measurement in Basle Ⅱand in consideration of the characteristics of Chinese loan borrowing firms ,the paper puts forward a Multi-Dimension analytical system that can accurately describe the PD in firms. According to this system, PD measurement should take PD in credit rating as the core with sector PD, scale PD, areas PD, PD in diversified ownership and Frequency of PD firms as supplements. At the same time, corresponding quantitative index and measurement formula are introduced. Through the state data-bank on trans-bank loan firms, Chinese firms on short-term loans are examined against the above-mention PD aspects. It is found that: foregoing PD of firms on short-term loans differs substantially from each other according to industries, areas, scales and ownership that these firms belong.

关 键 词：巴塞尔新资本协议 中国贷款企业 违约率 多维度体系 贷款企业 统计测度 维度分析 体系研究 企业违约 信用等级 

分 类 号：F832.4[经济管理—金融学] F830.91