基于精算方法的信用风险的量化

比较了保险风险和信贷风险的基本特征后可以发现，精算模型的方法和思路可以用来描述商业银行的信用风险。可以通过定性分析和定量分析相结合的方式，推导出适用的信用风险量化管理模型。在数据整理和检验的基础上，借鉴寿险精算的生命模型思想可以建立“正常-损失”模型，进而实现对贷款损失率的解释；借鉴非寿险准备金测算的方法，可以采用链梯法测算商业银行短期贷款业务应提取的贷款坏账准备金数额。在上述方法的基础上，可以将“正常-损失”模型与链梯法结合起来，测算长期贷款的坏账准备金。

A Quantitative Analysis on Credit Risk Based on the Actuarial Method

By comparing the basic characteristics of insurance risks with that of credit risks, the author points out that the actuarial methods and ideas can be used to describe credit risks of commercial banks. With the combination of qualitative and quantitative analyses, a suitable quantitative management model on credit risk is built. On the basis of data processing and testing and introducing the actuarial theory for life insurance, the author establishes a normal - loss model to explain the loan loss rate. With reference to the calculation method of general insurance reserve, Chain-Ladder Method can be used to calculate the bad debt reserves for short-term loans of Chinese commercial banks. Moreover, by combing the above mentioned two methods, we can also calculate the bad debt reserves for the long-term loans.