商业银行国际信贷中国家风险LGD度量研究

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摘要一个完整的风险概念包括损失的可能性——违约概率PD以及损失的严重程度——违约损失率LGD。因此,国家风险LGD是商业银行国际信贷风险中国家风险的重要测度。本文通过借鉴已有的LGD度量思想并结合商业银行国际信贷国家风险的特点提出使用主权差价法度量国家风险LGD的方法。

作者吴晨杜玉坤

机构地区北京物资学院研究生部

出处《科技经济市场》 2011年第11期46-48,共3页

关键词国家风险国家风险LGD 主权差价法

参考文献6

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科技经济市场

2011年第11期

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