基于CreditRisk+模型的零售贷款经济资本计量方法  

Calculation of Retail Loans' Economic Capital Based on CreditRisk+Model

作　　者：彭建刚[1] 黄玺[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《湘潭大学学报（哲学社会科学版）》2011年第3期23-27,共5页Journal of Xiangtan University:Philosophy And Social Sciences

基　　金：国家自然科学基金项目(项目编号:70673021;71073048)

摘　　要：针对零售贷款的信用风险特征,在CreditRisk+框架下,采用非线性时变比例模型分类测算零售贷款违约概率,并引入FFT-Panjer算法简化零售贷款组合的损失分布计算,提出了零售贷款信用风险的经济资本计量方法。同时通过算例分析论证了该方法在我国商业银行运用的科学性和可行性。As to the credit risk characteristics of retail loans in the domestic commercial banks,by using the nonlinear proportional default model with time-dependent variables to separately measure the probability of default of retail loans,and introducing Panjer-FFT algorithm to simplify the calculation of the loss distribution of loan portfolio,the economic capital measurement method of credit risk of retail loans in the framework of CreditRisk＋was put forword.At the same time,the method as such is demonstrated scientific and feasible to apply in the domestic commercial banks.

关 键 词：零售贷款 信用风险 CREDITRISK+模型 经济资本 

分 类 号：F224.0[经济管理—国民经济]