经济波动与违约概率的估计

Economic Fluctuations and an Estimation of the Default Probability

在经济结构调整的新常态下,我国银行对公客户的实际违约率呈逐渐增长趋势,并且与预估违约率的离差也越来越大,内部评级模型估测的准确性逐渐降低。通过对我国经济增长率和公司类客户的实际违约率进行检验发现,实际违约率与经济波动之间存在着长期稳定的协整关系,且实际违约率相对于GDP增长率变化具有一定的滞后性。因此,在建立信用评级的违约概率模型过程中,可以将经济增长指标作为重要的参考因素,或采用较短的经济波动期间来估计违约集中趋势,从而改善银行信用风险评级体系的敏感性,提高评级结果的准确性。

Under the economic structural adjustment and the new economic normality, the actual default probability of banks corporative customers increases gradually, and the discrepancies between the internal estimations of and the actual default probability is increasing, as a result, the accuracy of the internal estimation models of default probability is declining. Through examining China＇s economic growth rates and the actual default probability of banks＇ corporative customers, this paper finds a long run stable co-integration relationship between economic fluctuations and the actual default probability, and the default probability lags behind the changes of GDP growth rates. Therefore, in developing the default probability models of credit ratings, it is recommended to include economic growth as an important factor, or estimate the default probability with a narrower time zone of economic fluctuations, so that to improve the sensitivity of banks＇ internal credit rating system and the accuracy of credit ratings.