商业银行人民币对公贷款违约概率计量模型研究  

The Research of an Econometric Model of the Probability of Default on RMB Corporate Loans of Commercial Banks

作　　者：许一览[1] 

机构地区：[1]复旦大学金融研究院,上海200433

出　　处：《上海金融》2013年第8期104-107,119,共4页Shanghai Finance

摘　　要：巴塞尔协议Ⅲ要求商业银行使用内部评级法对信用风险进行计量。我国商业银行内部评级法体系萌芽于本世纪初,起步于2007年,目前取得了阶段性的成果。但由于对违约概率的计量方法受限于历史数据的积累,未得到中国银监会的完全认可,且与巴塞尔协议Ⅲ的相关监管要求存在一定的差距。由于内评法建设水平是商业银行综合竞争力和国际化程度的体现,也是银行上市的一个必备条件,所以,商业银行有动力做好这项工作。笔者对国内部分商业银行内评法实施情况和咨询公司内评法项目进行了调研,针对违约概率计量中的难点,提出了独立建模原理,并运用一系列辅助模型解决计量模型中的难点,文章还对违约概率计量模型进行了实证分析和检验。Basel Ⅲ requests commercial banks to measure the credit risk by IRB.The IRB system in China's commercial banks emerges at the beginning of this century,starts the construction in 2007,and has yielded initial results by now.However,the IRB has not been fully recog nized by the China Banking Regulatory Commission,and there is still a gap between our current operation and the relevant regulatory requirements of Basel III,because the measure of the probability of default(PD) is limited by the accumulation of historical data.Commercial banks have the dynamic to push forward the establishment of IRB system,because the level of the IRB not only reflects the comprehensive competitiveness of com mercial banks and the degree of internationalization,but also is a necessary condition for listing on the market.Having had a research on the im plementation of IRB in the domestic commercial banks and consulting firms,the author gives out the independent modeling principle to solve the difficulties in the model of PD.By using a series of auxiliary models to solve the difficulties in the measurement model,the article gives out empir ical analysis and testing on the model of PD.

关 键 词：违约概率 内部评级法 风险计量 

分 类 号：F830.51[经济管理—金融学]