违约损失率模型开发部分关键技术实证研究被引量：5

Empirical Study of the Key Technologies of LGD Modeling

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摘要本文通过分析与借鉴国内外对违约损失率(LGD)计量的研究成果,结合新资本协议有关要求和我国银行业实际情况,对LGD模型建设的难点进行分析。基于中国银行LGD和EAD建模实践,根据中国银行LGD历史数据的实际分布,着重研究和探讨了Beta拟合、Beta分布与正态分布正逆变换、模型变量确定等关键技术在违约损失率建模中的应用,以求为国内银行LGD建模提供有益的思路。 Combining the analysis of the Basel II requirements and the current situation in China’s banking industry, this paper has reviewed the researches on LGD measurement and discussed the difficulties of LGD model development. Following that, based on the Bank of China’s LGD historical data, the paper has examined the key technologies in the process of LGD modeling, such as Beta fitting, transformations between Beta and Normal distribution and determinations of model variables, intending to provide valuable suggestions regarding LGD modeling for domestic banks.

作者郑学黄建忠李叔诚

机构地区中国银行授信执行部中国银行江苏省分行中国银行安徽省分行

出处《国际金融研究》 CSSCI 北大核心 2010年第10期78-83,共6页 Studies of International Finance

关键词 LGD度量模型开发 Beta拟合统计分布变换 LGD Measurement Model Development Beta Fitting Statistical Distribution Transformation

分类号 F831 [经济管理—金融学]

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参考文献10

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二级参考文献34

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