信用风险传染问题研究  

Study on Credit Risk Contagion

作　　者：张金宝[1] 

机构地区：[1]北京第二外国语学院国际财务与会计研究中心,北京100024

出　　处：《征信》2014年第2期7-10,共4页Credit Reference

基　　金：国家社会科学基金项目(13BJL042);教育部人文社科项目(11YJC630055)

摘　　要：对信用风险传染的概念、影响信用风险传染的因素以及信用风险的传染途径进行剖析,通过对一个简单信用风险传染模型进行仿真模拟发现,考虑了信用风险的传染效应以后,贷款组合的非预期损失和VaR都显著增加。仿真结果表明,忽略微观的信用风险传染效应,可能导致商业银行出现经济资本配置偏低、化解风险能力不足的现象。This paper analyzes the concept of credit risk contagion, its infection factors and its contagion path. By simulating a simple contagion model, we found that after considering the contagion effect of credit risk, non anticipa- tion loss for loan portfolio and VaR rise apparently. The simulation results suggest that neglecting the microscopic credit risk contagion may lead to a low economic capital allocation and a weak a bility in mitigating risks for commer- cial banks.

关 键 词：信用风险 传染 经济联系 贷款组合 违约相关性 

分 类 号：F275[经济管理—企业管理] F224[经济管理—国民经济]