【作者】 王芳；

【导师】 孟庆福；

【作者基本信息】 吉林大学 ， 数量经济学， 2006， 硕士

【摘要】 2004年6月26日,巴塞尔委员会颁布了新巴塞尔协议的最终稿(NBCA)。NBCA在关注信用风险的同时,考虑了市场风险和操作风险,但核心仍然是资本充足率的计算。协议中提出的内部评级法(internal ratings-based approach,以下可简称IRB法)成为人们讨论的焦点,而在内部评级法的四大风险要素中,违约概率又是其中的核心变量。因此有效测量违约概率不仅对银行自身控制风险的能力有重要影响,而且也有助于提高监管当局的监管能力。本文所提出的计算违约概率的模型利用国内上市公司的财务数据以及在上交所上市的国债收益率首次把违约概率与经济周期联系起来,通过假定经济存在扩张期和衰退期两个阶段,并预测出相应的概率P (E)和P (R)。然后我们把每个PD定义为违约率的预期值,其分布是扩张期和衰退期的混合分布。本文的主要结论是上市公司的违约概率的确具有周期性的特点,因此在经济周期条件下计算违约概率更符合实际情况。更多还原

【Abstract】 In June 2004 the Basel Committee published the last proposal for the New Basel Capital Accord (NBCA). Its kernel is also the method of calculating the Capital Adequacy Ratio. They suggest banks use the Internal Rating Based approach (IRB). As we know, the Probability of Default (PD) is the most important in the approach’s four risk factors, so our issue is to calculate PD. We believe that there is a cyclical effect on PD, so we define PD as the expected value of a default rate, whose distribution is a mixture of an expansion and a recession distribution.Chapter 1 gives an overview of the research about the cyclical effect on PD. According to these researches, most of them believe PD is different between expansion and recession significantly. And there is an existence of asymmetric, that is PD increases significantly during economic downturns, but does not decrease significantly during economic upturns.Chapter 2 describes our model ’ s character and specific representation.During boom periods, banks intend to expand their lending activity, thereby contributing to a possible overheating of the economy; during recessions, even the most expansionary monetary policy may not encourage banks to lend to obligors that are perceived to be poor credit risks. These behavior result in procyclicality. In our model, we suggest that risk builds up更多还原