IRB法下信贷资产组合的风险因子度量研究

On Measuring Risk Factors of Loan Portfolio with IRB Approaches

巴塞尔银行监管委员会针对防范信贷资产组合信用风险所需要的资本制定的内部评级法,利用风险因子的变化来反映组合回报的变化,并根据风险权重函数,通过风险加权资产转化为与每一项信用风险敞口更准确匹配的资本要求。文章对违约概率、违约损失率、违约敞口、期限因素以及违约相关性等信贷资产组合信用风险的风险因子的度量进行了综合研究。

The internal rating-based approaches were framed by the Basel Committee on Banking Supervision in response to the capital requirement against credit risks of loan portfolio. It tells changes in portfolio return via that of risk factors and translates risk-weighted assets into accurately matched capital reserves for every each of the exposures. In this article, the author presents his studies in measuring such credit risk factors as default possibility, default loss, default exposure and maturity and default relevance etc.