信用风险传染问题研究

Study on Credit Risk Contagion

对信用风险传染的概念、影响信用风险传染的因素以及信用风险的传染途径进行剖析,通过对一个简单信用风险传染模型进行仿真模拟发现,考虑了信用风险的传染效应以后,贷款组合的非预期损失和VaR都显著增加。仿真结果表明,忽略微观的信用风险传染效应,可能导致商业银行出现经济资本配置偏低、化解风险能力不足的现象。

This paper analyzes the concept of credit risk contagion, its infection factors and its contagion path. By simulating a simple contagion model, we found that after considering the contagion effect of credit risk, non anticipa- tion loss for loan portfolio and VaR rise apparently. The simulation results suggest that neglecting the microscopic credit risk contagion may lead to a low economic capital allocation and a weak a bility in mitigating risks for commer- cial banks.