测算商业银行贷款违约概率的贷款违约表法探讨  

Loan Default Table:A Method to Measure the Loan Default Possibility for Commercial Banks

作　　者：彭建刚[1] 易宇[1] 李樟飞[1] 

机构地区：[1]湖南大学金融管理研究中心

出　　处：《管理学报》2009年第6期828-833,共6页Chinese Journal of Management

基　　金：国家自然科学基金资助项目(70673021);教育部高等学校博士学科点专项基金资助项目(200605320)

摘　　要：结合我国商业银行贷款5级分类的实施,在回顾、分析国外商业银行违约贷款测算模型演变的基础上,首次提出用贷款违约表法测算我国商业银行贷款的违约概率。该测算方法建立在客户的信用等级基础上,能适时测算贷款的违约概率,有利于我国商业银行合理地测算贷款组合的预期损失和非预期损失。Based upon the five-degree loan quality classification, this article puts forward loan default table method to calculate the possibility of the loan default. Based on the customers＇ credit ratings, this method can measure the possibility of the loan default timely on the basis of customer＇s credit rating. The proposed method is designed to facilitate the measurement of the expected loss and unexpected loss of the loan portfolio for the Chinese commercial banks to

关 键 词：违约概率 违约表法 5级分类 信用等级 

分 类 号：F832.21[经济管理—金融学]