基于贝叶斯方法的信用风险损失分布研究  

Research on Loss Distribution of Credit Risk with Bayes Method

作　　者：谭德俊[1,2] 吕宝华[2] 

机构地区：[1]湖南大学统计学院 [2]湖南大学金融学院,湖南长沙410079

出　　处：《统计与信息论坛》2008年第11期36-39,共4页Journal of Statistics and Information

摘　　要：现代商业银行进行经济资本配置时,采用的损失分布函数都存在严重的失真问题。运用贝叶斯方法,充分利用各种信息对正态分布形式的信用损失分布进行了修正,得到信用风险损失分布的优化模型,结果表明:修正后的信用风险损失分布具有较高的精度,从而为商业银行经济资本管理提供了一种很实用的管理工具。When the commercial banks allocation the economics capitals, the loss distribution used has a several distortion problem. In this paper, we use Bayes method to correct the credit risk loss distribution in the normal distribution style with the data obtained from different sources and obtain a corrected credit risk loss distribution. The results indicate that the corrected credit risk loss distribution have better accuracy and can become a practical management tool for the commercial banks to allocate the economics capitals.

关 键 词：信用风险 损失分布 贝叶斯方法 

分 类 号：F224.7[经济管理—国民经济]