【作者】 杜晓祥；

【导师】 彭建刚；

【作者基本信息】 湖南大学 ， 金融学， 2009， 硕士

【摘要】 银行信用风险管理的核心之一是在信用风险量化的基础上确定其应持有的经济资本。经济资本是指在一定容忍度下商业银行覆盖非预期损失所需要的资本,经济资本管理方法已成为现代商业银行的重要的风险管理手段。而对商业银行的贷款组合来说,贷款之间的违约相关性对贷款的损失分布和经济资本有很大的影响,因此,本文提出了基于违约相关性的商业银行经济资本计量方法。本文主要是利用单因素模型和加权平均频带划分方法,给出了一种计量商业银行经济资本的新方法。单因素模型在内部评级法中主要被用来求单笔贷款的监管资本,在有的文献中还被用来对贷款组合的损失分布做理论化的分析;频带划分方法是CreditRisk+模型的一种方法,针对该方法在数据分布不均匀时计算结果误差较大的缺陷,我们采用了加权平均频带划分方法。本文首先通过加权平均频带划分方法,把同质贷款放到一个频带中,然后利用单因素模型分别求同频带内贷款的违约比例的分布,再转换成损失分布,最终求得经济资本。本文采用我国某个城市商业银行的贷款数据对我们所提出的方法进行了分析。计算结果表明:本文提出的基于违约相关性的经济资本计量方法可以用来求贷款组合的经济资本,扩大了单因素模型的应用范围;且利用该方法计算的经济资本与违约相关性成正相关关系;在贷款笔数多,贷款之间相关性很小的情况下,通过本文模型也可以得到与CreditRisk+模型相近的经济资本,说明本文提出的基于违约相关性的经济资本计量方法是有效的;本文提出的方法只适用于贷款笔数多的组合,不适用于贷款笔数少的的组合,有一定的局限性。本文提出的基于违约相关性的经济资本计量方法在实际中应用还需要更多的配套措施。具体措施包括:加强各类相关数据库的建立及其完善;完善我国商业银行经济资本管理方法及建设良好的风险管理环境等。更多还原

【Abstract】 The core of credit risk management in commercial banks is to quantizate the economic capital on the basis of quantization to the credit risk. Economic capital (Economic Capital, EC) refers to the capital which is used to coverage unexpected loss of loans in the commercial banks under a certain tolerance. Economic capital management has become an important tool of risk management in modern commercial banks. The correlation between loans has a great impact on the loss of loan portfolio of commercial banks. Therefore, we build an economic capital measurement model based on the default correlation.In this paper, we bring forward a new method of economic capital measurement using the single-factor model and the weighted average of band classification. Single-factor model has been mainly used to get the supervision capital of a single loan in the Internal Ratings-Based Approach, and also been used to analyse the loss distribution of the loan portfolio theoretically in some literatures. Band classification is a method of CreditRisk + model and the error of it’s result is very big when data distribution is not uniform, so we have adopted a weighted average of band classification. In this paper,we first put homogeneous loans into a band through the weighted average of band classification, and then get of loans’portfolio in the same band by using single-factor model,and then transform the default percentange distribution into the loss distribution, and ultimately get the economic capital.We use some loans’data of a city commercial bank in our country to illustrate our method.Through the calculation ,we found that the economic capital measurement model based on the default correlation can be used to calculate the economic capital of loan portfolio,and expand the application scope of the single-factor model. The economic capital calculated through the model is positively correlated.At the same time, we found that we can get the economic capital of loan portfolio using the method which is similar to CreditRisk + model’s when the number of loans are quite big and the correlation between the loans are small.So it shows that the model is effective. Lastly,we explaine that our method is only applicable to the portfolios which have a lot of loans, and not to portfolios containing few loans,So it has some limitations.It needs more measures when the economic capital measurement method based on the default correlation is applied in practice. Specific measures include: strengthening the establishment and perfection of various types of database; perfecting the economic capital management of our country’s commercial banks and building good environment of the risk management.更多还原