摘要
本文对中国银行业面临的信用风险违约损失率(LGD)展开研究,以温州某商业银行不良贷款数据为样本,通过描述性统计,对LGD的结构特征:信用风险暴露规模特征、期限特征、地域特征以及担保特征等进行了详细分析。结果表明LGD与风险暴露规模呈负相关,LGD与贷款期限呈正相关,不同地域、不同担保方式的违约贷款其LGD差异性显著。以上这些结论可为商业银行信用风险管理、信贷投放导向以及信用风险监管提供现实帮助。
On the grounds of data provided by acom mercial bank located in Wenzhou city Zhejiang province of China, this paper examines Loss Given Defauh（LGD） , the portion of defaulted loans the bank cannot recover, and study the structural characleristic of LGD according to the loan a mount, the borrower＇s area, the maturity and the credit risk mitigants. We show that LGD varies along with the difference of loan amount, maturity, credit risk mitigants, the borrower＇s area and industry. All these results will benefit bank＇s credit risk management, loan disbursement instruction and credit risk regulation.
出处
《上海管理科学》
2006年第6期12-15,共4页
Shanghai Management Science
基金
国家自然科学基金(70331001)
关键词
信用风险
不良贷款
违约损失率
Credit risk
Nonperforming loans（NPL）
Loss Given Default （LGD）
