基于顺周期性的信用风险预期损失模型和已发生损失模型的对比分析

金融危机爆发后,基于对其成因的思考,IASB提出用预期损失模型取代现行已发生损失模型,通过对风险的有效预期来预防损失。通过设定条件,在预期不变和预期发生变化两种情况下对两个模型进行比较分析,并根据比较结果进行相应修正。分析表明两个模型由于其内在属性均存在一定程度的顺周期性,而通过损失分摊,修正预期损失模型能够有效缓解资产减值的顺周期性。预期损失模型的推广有助于我国商业银行针对信用风险进行全面风险管理,提高贷款质量。

Comparison between Expected Loss Model and Incurred Loss Model of Credit Risk Based on Procyclicality

After financial crisis break out,IASB pointed out that the existing incurred loss model should be replaced by expected loss model which can prevent risk by the anticipation of risk based on the consideration of how financial crisis breaks out.This paper compares the two model under conditions that anticipation changes and remains unchanged.Then some adjustments are made based on the comparison analysis.The result shows that the two models will cause procyclicality to a certain extent because of their inner properties,which adjusted expected loss model can ease procyclicality of asset impairment by sharing loss.The promotion of revised expected loss model will enable Chinese banks to take overall risk management to prevent credit risks and improve the quality of loans.