技术经济
技術經濟
기술경제
Technology Economics
2014年
8期
106~114
,共null页
贷款定价 贷款组合 信用风险 商业银行
貸款定價 貸款組閤 信用風險 商業銀行
대관정개 대관조합 신용풍험 상업은행
loan pricing ; loan portfolio ; credit risk ; commercial bank
通过Box-Cox正态变换将资产价值的实际数据转换为服从标准正态分布的数据,据此测算贷款企业的联合违约概率和贷款组合信用风险溢价,进而构建贷款组合定价模型。以6家上市企业为样本,对上述贷款组合定价过程进行实证研究。结果表明:利用资产价值的原始数据测算联合违约概率会低估贷款组合的违约风险,从而加大商业银行遭受重大损失的可能性。
通過Box-Cox正態變換將資產價值的實際數據轉換為服從標準正態分佈的數據,據此測算貸款企業的聯閤違約概率和貸款組閤信用風險溢價,進而構建貸款組閤定價模型。以6傢上市企業為樣本,對上述貸款組閤定價過程進行實證研究。結果錶明:利用資產價值的原始數據測算聯閤違約概率會低估貸款組閤的違約風險,從而加大商業銀行遭受重大損失的可能性。
통과Box-Cox정태변환장자산개치적실제수거전환위복종표준정태분포적수거,거차측산대관기업적연합위약개솔화대관조합신용풍험일개,진이구건대관조합정개모형。이6가상시기업위양본,대상술대관조합정개과정진행실증연구。결과표명:이용자산개치적원시수거측산연합위약개솔회저고대관조합적위약풍험,종이가대상업은행조수중대손실적가능성。
This paper converts the actual data of asset value into the data obeying standard normal distribution through the Box-Cox normal dis- tribution transformation which is used to measure the credit risk premium of loan portfolio and joint default probability,and then constructs the loan portfolio pricing model. The result of empirical evidence shows that measuring the asset joint default probability by using the original data of asset value leads to underestimate the loan portfolio default risk of commercial banks,which would increase the possibility of the occurrence of major loss.