基于正态变换的贷款组合定价模型构建及实证

Construction of Loan Portfolio Pricing Model and Its Empirical Research Based on Normal Transformation

通过Box-Cox正态变换将资产价值的实际数据转换为服从标准正态分布的数据,据此测算贷款企业的联合违约概率和贷款组合信用风险溢价,进而构建贷款组合定价模型。以6家上市企业为样本,对上述贷款组合定价过程进行实证研究。结果表明:利用资产价值的原始数据测算联合违约概率会低估贷款组合的违约风险,从而加大商业银行遭受重大损失的可能性。

This paper converts the actual data of asset value into the data obeying standard normal distribution through the Box-Cox normal dis- tribution transformation which is used to measure the credit risk premium of loan portfolio and joint default probability,and then constructs the loan portfolio pricing model. The result of empirical evidence shows that measuring the asset joint default probability by using the original data of asset value leads to underestimate the loan portfolio default risk of commercial banks,which would increase the possibility of the occurrence of major loss.