基于商业银行贷款风险度量的Credit Risk+模型  

Credit Risk+ Model Based on Commercial Bank Loan Risk Measurement

作　　者：卞乐乐 侯为波[1] BIAN Lele;HOU Weibo(School of Mathematical Sciences,Huaibei Normal University,235000,Huaibei,Anhui,China)

机构地区：[1]淮北师范大学数学科学学院,安徽淮北235000

出　　处：《淮北师范大学学报（自然科学版）》2018年第3期22-26,共5页Journal of Huaibei Normal University：Natural Sciences

摘　　要：文章运用Credit Risk+模型对我国商业银行贷款风险度量进行实证分析.原Credit Risk+模型在计算违约损失率时使用历史平均值的方法有很大的缺陷,现运用清算LGD方法计算贷款的违约损失率.同时,采用更有效的CVaR方法度量风险,提高违约损失的计算精度.This paper mainly uses Credit Risk+model to analyze the risk measurement of commercial bank loans in China.There are many defects in the former Credit Risk+model about calculating the historical average of the default loss rate.In this paper,we use the workout LGD method to calculate the default loss rate of the loan.At the same time,we use a more effective CVaR method to measure the risk,which can improve the precision of the default loss calculation.

关 键 词：CREDITRISK+模型 风险度量 清算LGD 

分 类 号：F830.33[经济管理—金融学]