【摘要】 研究国内信贷市场上违约概率的期限结构问题.首先,基于结构化模型基本原理,提出了累积违约概率和边际违约概率模型;然后,利用国内某银行的数据,测算了1～20年期边际违约概率曲线以及年度累积违约概率和年度边际违约概率;最后,通过情景分析的方法研究了波动率σ和违约阈值 B 对违约概率期限结构的影响.研究发现:1)在1年期违约概率的预测方面,结构化模型优于 Z′评分模型;2)违约概率的变化幅度随期限的增加而逐渐降低.但对于风险较高的贷款,5年期以上的年度边际违约概率的变化幅度不应被忽略,需要对目前的信用风险度量和定价方式加以改进;3)风险越高,近期违约概率越大,中远期违约概率先增后减;时点距离当前越远,边际违约概率对这些风险因素的敏感性越低.更多还原

【Abstract】 This paper studies the term structure problem of default probability(PD)in China’s lo- cal debt market.Firstly,models of cumulative PD and marginal PD were put forward by following the basic rules of structural models;Then,using local banks’ data,the 1～20 year marginal PD curves and 1～20 cumulative PD and the yearly marginal PD were calculated;Finally,the effects of volatility σ and default threshold B on PD were studied through scene analysis.It is found that:1) the structural models’ prediction power on one-year’s PD is better than Z’ score models;2)the longer the term is,the less the change scope of PD is.However,the change scope of high-risk debts whose term is more than the 5-years should not be ignored.So,the current method of debt pricing for more than 5-year debt should be improved;3)the higher the risk is,and the bigger the short- term PD is,both the medium-term and the long-term PD increase firstly and then decrease;the lon- ger the term is,the less the sensitivity of PD to those risk factors is.更多还原