基于贝塔二项分布的零售贷款组合违约计量模型与经济资本配置  

Default Model and Economic Capital Allocation for Retail Loan Portfolios Based on Beta-binomial Distribution

作　　者：郑玉华[1] 崔晓东[2] 

机构地区：[1]南京信息工程大学经济管理学院,江苏南京210044 [2]南京晓庄学院经济与管理学院,江苏南京211171

出　　处：《系统工程》2013年第5期40-46,共7页Systems Engineering

基　　金：南京信息工程大学科研启动基金资助项目(SK20100103);教育部人文社科基金资助项目(10YJC790149)

摘　　要：对零售贷款组合进行风险评估时,违约率和违约相关性是研究的重点内容。为了克服结构化思想和单因子模型的不足,本文将违约率和违约相关性的研究转化为对组合违约数目的分布进行研究,并根据违约数目的统计特征,建立基于贝塔二项分布的违约计量模型,在此基础上,进一步分析该分布假设下的经济资本配置问题。研究结论表明,设定违约数目服从贝塔二项分布,并通过分布参数的合理设置,既能反映各单项贷款的违约信息,又能体现零售贷款中各贷款违约之间的相关性,从而保证经济资本计算的可靠性与适用性。Probability of default and default correlation is the key problem in risk assessment for retail loan portfolios. In order to overcome the shortage of structure model and single-factor model, we study the distribution of default number of portfolios stead of probability of default and default correlation. Default model based on beta-binomial distribution is put forward according to study on the statistical characteristics of the default number of retail loan portfolios. We also further discussed the issue of economic capital allocation in this assumption of beta-binomial distribution. The results show that introducing beta-binomial distribution with a reasonable parameter set for default number can not only reflect the default information of single loan, but also embody the default correlation of retail loans. All these work would be helpful to improve the reliability and applicability of the economic capital allocation.

关 键 词：零售贷款 违约相关 贝塔二项分布 经济资本 

分 类 号：F830[经济管理—金融学]