基于ES-TV的贷款承诺极端风险测度模型  

Extreme risk measurement model of loan commitment based on ES-TV

作　　者：秦学志[1] 胡友群[1] 肖汉[2] 

机构地区：[1]大连理工大学工商管理学院,大连116024 [2]清华大学软件学院,北京100084

出　　处：《系统工程理论与实践》2014年第3期656-662,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71171032);中央高校基本科研业务费科研专题项目(DUT11RW202);留学回国人员科研动基金(第43批)

摘　　要：在BaselⅢ的风险计量新要求及中小企业融资成本高、违约风险大等背景下,贷款承诺极端风险的测度成为银行未来资产管理的重点之一.基于期权理论,首先给出了浮动利率下的贷款承诺定价公式;其次通过引入DGN(Delta-Gamma-Normal)模型,刻画了贷款承诺价值变动的分布形态;继而通过修正尾部波动率,并利用期望短缺原理,构建了衡量贷款承诺极端风险的ES-TV测度模型.该模型兼顾极端损益及其波动性,能更全面反映极端风险.最后对X银行贷款承诺组合管理进行了实证分析.Based on the new risk measure requirements of the Basel Ⅲ and the realities of the difficulties in small-medium enterprises＇ financing as well as the increasing default risk, the extreme risk measure of loan commitments will be one of the key fields in future asset nlanagement of the banks. Based on the option theory, firstly, this paper provides a loan commitment pricing formula under the floating-rate. Secondly, by introducing the DGN （Delta-Gamma-Normal） model, the distribution patterns of changes in value of loan commitments are characterized. Then, by modifying tail volatility with the theory of expected shortage, an ES-TV measure model is constructed to scale the extreme risk of loan commitments. This model depicts both the scale and volatility of the extreme loss, and hence it can reflect extreme risk more completely. Finally this paper makes an empirical analysis on the loan commitment portfolio management of X bank.

关 键 词：贷款承诺 期望短缺 尾部波动率 期权 DGN模型 

分 类 号：F830.45[经济管理—金融学]