基于资本监管门槛效应的银行违约率测算方法  

Estimating Default Rate of the Commercial Bank Based on Regulatory Capital Threshold

作　　者：潘凌遥[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《系统工程》2016年第7期146-152,共7页Systems Engineering

摘　　要：运用商业银行的核心一级资本充足率要求对银行违约率测算的KMV模型进行改进,使该模型能直接与银行资产风险对接。对改进后的模型进行数值模拟,得到商业银行资产风险越大,其违约率越高,而其资产价值波动率的变化对违约率的影响则是不定的结论。进一步地,采用具体的资本监管要求对我国上市商业银行违约率的测算,发现在核心一级资本的监管标准下,对上市银行未来是否满足监管标准有极强的区分度,也表明了该模型对银行的风险状况较为敏感,可将其用于银行风险监控与资本计提的反馈环节。Improving the KMV model with the core tier one capital adequacy ratio requirement,the improved model can reflect the risk of bank assets directly.By performing numerical simulation of the improved model,the simulation results show the greater the risk of bank＇s assets,the higher the default rate.Nevertheless,changes in the volatility of the asset value have an uncertain influence on default rate.Furthermore,by measuring the default rate in China according to specific regulatory capital requirements,the result shows that under the regulatory standards of core tier one capital,there is an obvious discrimination in listed banks considering whether they can meet the regulatory standards in future.The result also shows that the improved model is sensitive to the risk of the bank,it can be used for risk monitoring and feedback link of capital charge.

关 键 词：KMV模型 资本监管门槛 商业银行 违约率 资产风险 

分 类 号：F832[经济管理—金融学]