【摘要】 本文研究了在违约模型与盯市模型两种不同情形下单笔贷款业务经济资本的估计问题,其中:在研究盯市模型下单笔贷款经济资本的估计问题时,基于CreditMetricsTM系统,分别采用蒙特卡罗仿真基本方法和优化方法进行了研究,进一步还参考已有的试验参数进行了仿真试验,试验结果表明:我们所推导的单笔业务经济资本度量方法具有风险敏感性,即按照这一度量方法计算的风险资本敏感地依赖于贷款本金、信用等级、违约相关系数这些贷款自身以及贷款组合的风险要素。此外,试验结果还表明所研究的优化方法不仅可以提高贷款组合信用风险VaR的计算效率,还可以提高单笔贷款经济资本的计算效率。更多还原

【Abstract】 This paper systematically studied economic capital estimation of individual portfolio components under the two different circumstances of default-mode model and mark-to-market model Based on the principle of CreditMetricsTM system, we respectively adopted Monte Carlo fundamental approach and optimization approach to study economic capital estimation of individual portfolio components in mark-to-market mode Based on Matlab language, simulation experiments are carried out and the result shows that economic capital measure of individual portfolio components deduced from this paper has the desired risk sensitivity property, in other words, risk capital sensitively rests on loan principle, credit ratings, default correlation, and other risk factors associated with individual loan and loan portfolio In addition, experiment result also shows that Monte Carlo optimization approach studied in this paper can improve the computational efficiency of credit risk VaR for not only loan portfolio and economic capital measure of individual loan更多还原