基于银行贷款组合风险的经济资本计量模型

发布时间：2018-11-05 14:31

【摘要】：本文运用保险精算思想,建立了经济资本计量模型,并阐述了经济资本计量模型在银行确定贷款组合风险中的应用。本模型对经济资本计量模型作了三点改进。其创新与特色一是对贷款组合的风险暴露数进行分段,在每一频段上分别确定风险暴露数分布,进而可以更准确的描述各笔贷款的风险暴露数。二是在确定风险暴露数分布时,用Γ分布替代了传统的正态分布,解决了贷款违约的风险暴露数分布的厚尾问题,进而解决了大宗贷款违约的风险度量问题。三是确定违约频率时,用负二项分布来代替传统的泊松分布,解决了违约频率的方差通常要大于其均值的分布拟合问题。这样,改进后的经济资本计量模型在实务中可以更加贴切的度量银行贷款组合的风险。
[Abstract]:In this paper, an econometric model of economic capital is established by using the idea of actuarial insurance, and the application of economic capital measurement model in determining the risk of loan portfolio by banks is expounded. This model has made three improvements to the econometric model of economic capital. Its innovation and characteristic is that the risk exposure number of loan portfolio is segmented, and the distribution of risk exposure number can be determined separately in each frequency band, and then the risk exposure number of each loan can be described more accurately. Secondly, in determining the distribution of risk exposure number, 螕 distribution is used to replace the traditional normal distribution, which solves the problem of thick tail of risk exposure distribution of loan default, and then solves the risk measurement problem of large loan default. The third is to replace the traditional Poisson distribution with the negative binomial distribution when determining the default frequency, which solves the problem that the variance of the default frequency is usually larger than its mean value. In this way, the improved economic capital measurement model can measure the risk of bank loan portfolio more appropriately in practice.
【作者单位】：大连理工大学管理学院天津商学院理学院中国建设银行股份有限公司质量效率管理部
【基金】：国家自然科学基金资助项目(70471055) 高等学校博士学科点专项科研基金资助项目(20040141026)。
【分类号】：F830.5;F224

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