| IRB法下信贷资产组合的风险因子度量研究 |
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| 引用本文： | 陈德胜,姚伟峰,冯宗宪.IRB法下信贷资产组合的风险因子度量研究[J].山西财经大学学报,2004,26(5):84-89. |
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| 作者姓名： | 陈德胜 姚伟峰 冯宗宪 |
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| 作者单位： | 西安交通大学,经济与金融学院,陕西,西安,710061 |
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| 基金项目： | 国家社会科学基金资助项目(00BGY043)《信用风险的识别、评估与控制》的部分成果 |
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| 摘 要： | 巴塞尔银行监管委员会针对防范信贷资产组合信用风险所需要的资本制定的内部评级法,利用风险因子的变化来反映组合回报的变化,并根据风险权重函数,通过风险加权资产转化为与每一项信用风险敞口更准确匹配的资本要求。文章对违约概率、违约损失率、违约敞口、期限因素以及违约相关性等信贷资产组合信用风险的风险因子的度量进行了综合研究。
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| 关 键 词： | 内部评级法 信贷 资产组合 信用风险 风险因子 |
| 文章编号： | 1007-9556(2004)05-0084-06 |
| 修稿时间： | 2004年9月1日 |
On Measuring Risk Factors of Loan Portfolio with IRB Approaches |
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| CHEN De-sheng,YAO Wei-feng,FENG Zong-xian.On Measuring Risk Factors of Loan Portfolio with IRB Approaches[J].Journal of Shanxi Finance and Economics University,2004,26(5):84-89. |
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| Authors: | CHEN De-sheng YAO Wei-feng FENG Zong-xian |
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| Abstract: | The internal rating-based approaches were framed by the Basel Committee on Banking Supervision in response to the capital requirement against credit risks of loan portfolio. It tells changes in portfolio return via that of risk factors and translates risk-weighted assets into accurately matched capital reserves for every each of the exposures. In this article, the author presents his studies in measuring such credit risk factors as default possibility, default loss, default exposure and maturity and default relevance etc. |
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| Keywords: | internal rating-based approaches loan portfolios credit risks risk factors |
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