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抵押贷款违约损失率研究 被引量:12

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摘要 新巴塞尔资本协定将违约概率(PD)和违约损失率(LGD)纳入监管资本衡量的基本框架,国际活跃银行内部风险管理指标已从不良贷款率转向PD和LGD。本文简要综述了国际上LGD理论与实证研究的成果,并对国内商业银行抵押贷款LGD进行了实证研究,得出了一些重要结论与管理建议。
作者 何自力
机构地区 华南理工大学
出处 《南方金融》 北大核心 2006年第1期30-31,29,共3页 South China Finance
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