聚合信用风险模型在我国商业银行应用的方法论探讨  

A Research on the Application of CreditRisk+Model to China's Commercial Banks

作　　者：彭建刚[1] 张丽寒[1] 刘波[1] 屠海波[1] 

机构地区：[1]湖南大学金融学院,长沙410079

出　　处：《金融研究》2008年第8期72-85,共14页Journal of Financial Research

基　　金：国家自然科学基金项目"我国商业银行违约模型与经济资本配置研究"(编号:70673021);教育部博士点基金项目"我国商业银行违约模型及其应用研究"(编号:20060532011)的阶段性成果。

摘　　要：根据《巴塞尔新资本协议》的要求并结合我国的现实情况,本文对聚合信用风险模型在商业银行的应用进行了系统的研究,旨在提供一种计量贷款组合非预期损失的有效方法。本文指出了国外聚合信用风险模型频带划分方法的缺陷,对频带的划分做了创新性的设计,提出了具有可操作性的确定违约概率和违约损失率等参数的方法。同时采用某国有控股商业银行一地级市分行公司贷款数据对文中提出的计量非预期损失方法的科学性进行了论证,指出这一方法应用于我国商业银行可提高经济资本管理的效率。According to the requirements of New Basel Capital Accord and considering the real situation of China, this paper makes systematical researches on the application of CreditRisk ＋ model, which aims at providing an effective way to measure unexpected losses of loan portfolio for Chinese commercial banks. This paper points out the defect of the bands division method in abroad, puts forward an innovative way and proposes operational methods to determine obligors＇ probability of default and loss given default. The scientific method in measuring the unexpected losses is demonstrated by using the corporate loan data of a city branch of one of state-owned commercial banks in China. Using the method in Chinese commercial banks can greatly enhance the efficiency of economic capital management.

关 键 词：信用风险 违约损失 经济资本 

分 类 号：F832.2[经济管理—金融学] F224