| 我国银行贷款违约损失率影响因素的实证分析 |
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| 引用本文： | 汪办兴. 我国银行贷款违约损失率影响因素的实证分析[J]. 上海财经大学学报(哲学社会科学版), 2007, 9(3): 54-60 |
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| 作者姓名： | 汪办兴 |
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| 作者单位： | 复旦大学经济学院世界经济研究所 上海200433 |
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| 摘 要： | 本文利用某国有商业银行的贷款数据资料，运用主成因子分析对贷款样本的LGD进行统计分析并确定影响因素的重要性及排序。本文结论为：影响我国商业银行贷款LGD的因素依次为企业的信用等级、贷款担保方式、企业的行业属性；企业规模、企业经济类型、贷款担保方式等因素对LGD的影响都很弱。此外，本文验证了PD和LGD之间存在一定的关系，并非相互独立。
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| 关 键 词： | 商业银行 违约损失率 影响因素 实证分析 |
| 文章编号： | 1009-0150（2007）03-0054-07 |
| 修稿时间： | 2007-01-11 |
Empirical Research on Impact Factors of LGD of China''''s Commercial Banks'''' Loan |
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| WANG Ban-xing. Empirical Research on Impact Factors of LGD of China''''s Commercial Banks'''' Loan[J]. Journal of Shanghai University of Finance and Economics, 2007, 9(3): 54-60 |
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| Authors: | WANG Ban-xing |
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| Affiliation: | School of Economics, Fudan university, Shanghai 200433, China |
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| Abstract: | This paper gets samples of credit loan from china's commercial bank and uses the main factor analysis to find the main factors that impact LGD of China's commercial banks' loan.The order of factors is credit rating grade of creditor,guarantee condition of credit and industrial category.Size of creditor and others has little impact.Also,the empirical research concludes that correlation exits between LGD and possibility of default. |
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| Keywords: | commercial bank loss given default empirical research |
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