| 违约损失率问题初探 |
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| 引用本文： | 陈秀花.违约损失率问题初探[J].价值工程,2007,26(7):158-161. |
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| 作者姓名： | 陈秀花 |
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| 作者单位： | 山东经济学院,济南250014 |
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| 摘 要： | 巴塞尔新资本协议强调内部评级法在风险管理和资本监管中的重要作用。内部评级法的关键在于对违约率及其相关因素的测量,其中违约概率(PD)和违约损失率(LGD)是内部评级法的核心变量。对国际上关于LGD的表现及影响因素的讨论进行了总结与分析,并重点对LGD与PD之间的关系进行了介绍。
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| 关 键 词： | 违约率 违约损失率 影响因素 |
| 文章编号： | 1006-4311（2007）07-0158-04 |
A Dusty Table on the Loss Given Default(LGD) |
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| Chen Xiuhua.A Dusty Table on the Loss Given Default(LGD)[J].Value Engineering,2007,26(7):158-161. |
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| Authors: | Chen Xiuhua |
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| Institution: | Shandong Institute of Economies, Jinan 250014, China |
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| Abstract: | According to New Capital Accord,Internal Rating Based Approaches play an important role in risk management and banking supervision.The calculation of probability of default,loss given default and other concerning factors is the key steps to bring Internal Rating Based Approaches into effect.PD and LGD are the two key variables of internal rating system.This paper here will discuss about the character and the influence factor of the LGD and essentially study the relationship of PD and LGD. |
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| Keywords: | probability of default loss given default influence factor |
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