内部评级法中违约损失率的度量方法研究

The Measurement of LCD in IRB Approach

新巴塞尔资本协议的出台对我国银行业产生了极大的影响,我国银行业正在为实施新资本协议作积极的准备,而作为其核心的内部评级法的顺利实施与其参数之一的违约损失率有很大关系,本文根据新资本协议的要求,就国际上关于违约损失率的估计方法进行了分类和比较,并就违约损失率估计中存在的问题及其在我国的进展情况进行了分析。

the New Basel Capital Accord has made a notable impact on banks of China. Banks in China are preparing for implementing the New Basel Capital Accord as soon as possible. Among them, the successfully complement of IRB approach has a big relationship with one of the parameters LGD. This paper also introduces the international research achievements of LGD, the model structure and approaches of LGD, and the quantification of LGD in China.