一种考虑补偿信用风险资本要求的算法  

An Algorithm of Credit Risk Capital to Consider Offsetting

作　　者：顾成伟[1] 吴健中[1] 

机构地区：[1]上海交通大学管理学院,上海200052

出　　处：《上海交通大学学报》2003年第4期620-622,共3页Journal of Shanghai Jiaotong University

摘　　要：基于现行法定资本体制不考虑信用投资组合的多样化和限制空头信用风险头寸的补偿能力 ,设计了一种考虑补偿的信用风险资本要求的计算方法 .该算法根据信用等级决定风险权重 ,可以更精确地测定信用风险资本 .采用期限分段方法建立一个期间结构 ,区分当前和远期信用风险 。Because the current regular capital framework does not consider the diversification of credit portfolio and restricts the offset capability of short credit exposure, this paper designed an algorithm of the capital requirement of credit risk to consider offsetting. It can measure the credit risk capital more accurately by deciding the risk weight according to the credit rates. It set up a term structure using term subsection to distinguish the current and forward credit risk and to consider offsetting among long and short positions.

关 键 词：风险资本 坏帐概率 信用价差 偿债优先级 补偿规则 

分 类 号：F224.9[经济管理—国民经济]