内部评级法框架下商业银行信用风险的资本测算  

Calculation of Credit Risk of Commercial Bank by the IRB Approach

作　　者：梁凌[1] 彭建刚[1] 王修华[1] 

机构地区：[1]湖南大学金融学院,湖南长沙410079

出　　处：《财经理论与实践》2008年第3期17-21,共5页The Theory and Practice of Finance and Economics

基　　金：国家自然科学基金项目(70673021);教育部博士点基金项目(20060532011)

摘　　要：依据信贷资产分类贷款迁徙率矩阵,获取商业银行信贷业务各级形态贷款的违约概率;依据商业银行信贷审批的管理原则、资产清收的执行原则以及商业银行在清收时不可能通过诉讼获利的司法特征,建立抵押品池综合违约损失率的计算模型。基于以上模型,采用巴塞尔新资本协议IRB法计算出的信用风险在一般情况下低于依据银监会资本充足率管理办法计算出的信用风险。Using transition matrix, the probability of default in commercial bank can be got. Based on the examine and approve principle of bank credit, the operations of loan business, and the background of judicial systems in China, this paper provided a model to apply IRB method in credit-risk measurement. Furthermore, an＂ empirical study is made, which compares the capital requirements according to the model presented and the authoritative regulation methods respectively.

关 键 词：违约概率 违约损失率 内部评级法 资本测算 

分 类 号：F830.33[经济管理—金融学]