测算商业银行贷款违约概率的贷款违约表法探讨

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():5,,,,:;;5;:F832.21:A:16722884X(2009)0620828206LoanDefaultTable:AMethodtoMeasuretheLoanDefaultPossibilityforCommercialBanksPENGJiangangYIYuLIZhangfei(HunanUniversity,Changsha,China)Abstract:Baseduponthefive2degreeloanqualityclassification,thisarticleputsforwardloande2faulttablemethodtocalculatethepossibilityoftheloandefault.Basedonthecustomerscreditrat2ings,thismethodcanmeasurethepossibilityoftheloandefaulttimelyonthebasisofcustomer’screditrating.TheproposedmethodisdesignedtofacilitatethemeasurementoftheexpectedlossandunexpectedlossoftheloanportfoliofortheChinesecommercialbankstoKeywords:probabilityofdefault;defaulttablemethod;five2degreeloanqualityclassification;creditrating:2008204207:(70673021);(200605320)200610,,,,50,6.1%,,2.3%2006,,,20083,[1],,,,,,1FITZ2PATRICK[2],19FISHER[3],ALT2MAN[4,5]Z2scoreZETA8286620096ChineseJournalofManagementVol.6No.6Jun.2009,,;Z,,,,,OHLSON[6]197019761052058,,Lo2gistic,92%Logistic,TAM[7]19851987118,Lo2gistic,,,KMVCreditMetricsCPVKMVKMV[8],,JPCreditMetrics,,[9]CPV,,,GDP,ALTMAN[10]ALTMAN[11],519911996,,,:,KMV,,,,KMV,1500,CPV,,,,,,,,22.1,,[12,13],,;,:k+1,Ij=[aj-1,aj],j=1,2,,k+1,a0=0a1a2akak+1=(k1),qjqcjqj=DjNj-12Wj;(1)qcj=1-ji=1(1-qi),(2),N1=n1,Nj+1=Nj-Dj-Wj;DjnIj;Njnaj-1,aj-1;WjnIj,928,2.22,,,,2:,2,,:(1)52,:,(),;90[14]5,,,5,5()(2),(),,,,,(3),,(4),,,,2.3:(1)(Di),i(2)(DCi),i,(3)(Ni),i,Nii(4)(PDi),ii(5)(PCDi),ii12,:,,,XT,:(0,1],(1,0],,(i-1,i],,(T-1,T],i=1,2,,T,Ii=(i-1,i]i5,,,,,,,103866200961IiNXiDXiDCXiNXiPDXiPCDXiXi(PDXi)(PCDXi)PDXi=DXiNXi,(3)PCDXi=1-it=1(1-PDXi),(4)NXi=NXi-12DCXi,(5),DXii;NXii,NXi=NXi-1-DXi-1-DCXi-1;NXii;DCXii(5),DCXi12(3)(5)1,PDj,:FD=1-j=i+11j=i(1-PDj),(6),i(6),,,,;ii,,33.12005112006121,748,193.21(3)(6),221(200511200612)1ö%2ö%3ö%4ö%5ö%6ö%7ö%8ö%9ö%10ö%11ö%12ö%AAA0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00AA0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00A0.000.000.000.000.001.380.000.000.000.000.000.000.000.000.000.000.001.381.381.381.381.381.381.38BBB0.000.000.000.000.170.000.000.360.000.000.001.980.000.000.000.000.170.170.170.540.540.540.542.51BB0.000.000.003.233.330.000.000.000.000.000.000.000.000.000.003.236.456.456.456.456.456.456.456.45B0.000.000.000.000.007.690.000.000.000.000.000.000.000.000.000.000.007.697.697.697.697.697.697.69CCC0.000.000.007.690.000.000.000.000.000.000.005.560.000.000.007.697.697.697.697.697.697.697.6912.82,1,1,,AAAAA,,0100%;BCCC7.69%12.82%,,,BB6.97%,6.45%;CCC17.84%,12.82%,,,,138,,,,5,,,3.3,Cred2itRisk+20071,,()CreditRisk+,371,5253.013836.993jöEjö1011471.24971.2494222296.433812.86763450814.920159.6804462056.111036.6660582828.531868.25446112638.438092.81807392076.5068253.76521,14,5239.9053984.47,3984.47,5.1%,CreditRisk+,,4(1):,;(2),5,,,,,[1].[N].,2008203213(1).[2]FITZPATRICKPJ.AComparisonofRatiosofSuc2cessfulIndustrialEnterpriseswiththoseofFailedFirms[J].CertifiedPublicAccountant,1932(5):589605.[3]FISHERRA.TheuseofMultipleMeasureinTaxo2nomicProblems[J].AnnalsofEugenics,1936(7):179188.[4]ALTMANE.FinancialRatio,DiscriminateAnalysisandthePredictionofCorporateBankruptcy[J].Jour2nalofFinance,1968,23(4):589609.[5]ALTMANE,HALDEMANR,NARAYAMANP.ZETAAnalysis:ANewModeltoIdentifyBankrupt2cyRiskofCorporations[J].JournalofBankingandFinance,1977,1(1):2954.[6]OHLSONJA.FinancialRatiosandtheProbabilitiesPredictionofBankruptcy[J].JournalofAccountingResearch,1980,18(1):109131.[7]TAM,K,KIANGM.ManagerialApplicationsofNeuralNetworks:TheCaseofBankFailurePredic2tions[J].ManagementSciences,1992,59:927947.[8]KMV.GlobalCorrelationFactorStructure[R].SanFrancisco:KMVCorporation,1996.[9]MORGANJP.CreditMetricsTechnicalDocument[EBöOL].[2008203221].http:öö[10]ALTMANE,SUGGITTHJ.DefaultRatesinthe238662009620074SyndicatedBankLoanMarket:AMortalityAnaly2sis[J].JournalofBankingandFinance,2000,24(1ö2):229253.[11]ALTMANE.DefaultRecoveryRatesandLGDinCreditRiskModelingandPractice:AnUpdatedRe2viewoftheLiteratureandEmpiricalEvidence.[EBöOL].[2008203221].http:öö[12],.[M].:,2004.[13].[M]:,2005.[14].[M].:,2004.():(1955),,(410079),985,,E2mail:pengjiangang@hotmail.com(758)4(1),,,4(2),,,,,,,(3),,,,(4),,,,[1].[J].,1996(5):4142.[2],,.[J].,2005,26(4):3638.[3],.[J].,2005(27):305306.[4].[D].:,2007.[5],.[J].,2001(2):4243.[6].[J].,2005(5):5354.[7].[M].:,2000.[8]DIETRICHGB.TechnologyStrategiesinaComplexEnvironment[C]ööProceedingsofthe32ndHawaiiInternationalConferenceonSystemSciences.IEEE,1999:110.[9]BAR2YAMY.MakingThingsWork2solvingCom2plexProblemsinaComplexWorld[M].Amazon:NECSI2KnowledgePress,2004.[10].[M].:,2001.[11].[M].:,2000.():(1972),,(410082)E2mail:ejiaqiang@126.com338

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