CreditRisk+模型采用Poisson分布所产生的经济资本计量误差分析  

Analysis of Economic Capital Calculation Error by Poisson Distribution Applied in CreditRisk+Model

作　　者：吕志华[1] 彭建刚[1] 

机构地区：[1]湖南大学金融与统计学院,长沙410079

出　　处：《管理评论》2011年第1期33-40,共8页Management Review

基　　金：国家自然科学基金项目(70673021);教育部博士点基金项目(20060532011);湖南省研究生科研创新项目(CX2009B062)

摘　　要：本文对CreditRisk+模型采用Poisson分布近似债务人违约事件分布这一关键步骤进行系统研究。首先分析了Poisson分布在CreditRisk+模型中的作用,并从理论上证明了采用Poisson分布作为债务人违约事件分布的近似,会导致CreditRisk+模型计算出来的经济资本高估贷款组合的实际风险水平;然后以债务人违约事件服从两点分布并采用蒙特卡罗模拟计算出来的经济资本为参照值,对债务人违约概率的大小与这一近似所引起的经济资本计量误差率进行了敏感性试验,发现为将这一近似所引起的误差率控制在10%的范围内,债务人违约概率的取值不应超过0.2。This paper tries to make a systematic analysis of the key step in CreditRisk＋ model which utilizes Poisson distribution approximating the default event distribution of obligor.First,the paper analyzes the role played by Poisson distribution approximation in CreditRisk＋ model,and gives proof that the economic capital calculated by CreditRisk＋ model may overestimate the real risk level of loan portfolio because of this approximation process;Then,using the economic capital which is calculated by Monte Carlo simulation on the condition that the default event distribution of obligor follows two-point distribution as the reference value,this paper makes a sensitivity test on the effect of default probability to the economic capital calculation error rate resulting from the approximation process,and finds that in order to keep the error rate below 10%,the default probability should be smaller than 0.2.

关 键 词：CREDITRISK+模型 信用风险 POISSON分布 经济资本 违约概率 

分 类 号：F224[经济管理—国民经济] F830.3