基于巴塞尔新资本协议的违约损失率度量

通过总结借鉴国内外LGD计量的研究成果,结合巴塞尔新资本协议的有关要求和我国银行实际情况,提出了通过建立以财务数据为解释变量、贷款未来资产质量等级为被解释变量的判别模型,进而根据预测的贷款未来资产质量等级和银监会测算和制定的LGD参数标准之间的映射关系,得出每一类贷款的LGD的具体方法,以求为国内银行实施IRB提供有益的思路.

LGD Calculating Based on the New Basel Agreements

Based on domestic and foreign researching accomplishment on LGD calculating,integrating the requirements of the New Basel Agreement and specific conditions in Chinese banks,this paper proposed a distinguishing model based on financial data's and degrees of potential loaning capital quality.It also provides a specific solution to the LGD in every load according to the relationship between the degrees and standards of its calculating parameters made by the Basel Committee,and thus it may pave the way for the implement of IRB in domestic banks.