巴塞尔新资本协议下的LGD测算方法研究

On the Measuring Approach to the LGD under the New Basel Accord

违约损失率(LGD)是计算监管资本的重要参数,也是实施内部评级法I(RB)高级法的银行必须自行估计的参数。文章阐述了巴塞尔新资本协议对高级法LGD计算的要求——衰退期违约损失率,分析了传统LGD测算方法的不适应之处,提出了类似于条件PD计算思想的测算方法框架,并结合我国银行业的实际针对LGD测算提出了相应的建议。

Loss Given Default （LGD） is a very important variable in calculating the regulatory capital, as well as a variable that must be measured by the banks which practice the advanced IRB. This paper firstly states the requirement of New Basel Accord on the advanced IRB--the downturn LGD; and then points out the drawbacks of traditional approaches to calculating LGD, which fail to match the requirements; and next puts forward a new framework for measuring depressing LGD, which is similar to the approach to measuring conditional PD; and finally provides some corresponding adviees on measuring LGD to our banking.