银行信贷组合损失的计算

The Introduction of the Measure of Computing the Loan Portfolio Loss

本文介绍贷款组合损失的计算方法。首先介绍在二项分布下通过蒙特卡罗模拟计算贷款组合损失的方法;然后推导二项分布假设下随着组合规模的增大,贷款损失趋近的极限计算公式;最后得出利用损失分布极限公式计算应提资本的公式。

This paper introduces the measure of computing the loan portfolio loss. Firstly, it gives the measure of computing the loan portfolio loss at the binomial distributionthe by Monte Carlo simulation. Secondly, it derives the limiting formula with the aggrandizement of the loan portfolio at the binomial distributionthe. Finally, the formula of the given asset is gived.