CPV模型在银行贷款违约概率计算中的应用研究  

Toward the Application of CPV Model in the Calculation of Loan Default Probability

作　　者：程婵娟[1] 邹海波[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《当代经济科学》2009年第5期15-20,共6页Modern Economic Science

摘　　要：银行贷款风险管理,一直是银行风险管理的着重点,而带来贷款风险管理难度的主要是贷款违约概率的计算问题,尤其是随着当前金融危机的全球蔓延,宏观经济形势下滑,贷款违约率也随之波动。本文基于CPV模型,分别选取国际、国内宏观经济形势代表性指标,以及与银行贷款业务联系紧密的行业发展情况指标,对银行业贷款违约概率进行度量,其结果表明,该模型在度量银行贷款违约概率方面具有较好的效果,将会对全面信贷风险管理提供有力的依据。Credit risk management has always been the focus of bank risk management. The main difficulty that credit risk management faces is the calculation of the default probability. In particular,with the global spread of financial crisis,the loan default rate fluctuates as the macroeconomic situation worsens. This paper,based on the CPV model,measures the loan default probability with representative indicators of international and domestic macro-economic situation as well as those of the industry closely linked to loans. The results show that the model is effective in measuring the default rate of credit risk,which may serve as a good means for comprehensive credit risk management.

关 键 词：CPV模型 贷款风险度量 信贷风险管理 

分 类 号：F830.5[经济管理—金融学]