【摘要】 违约损失率(LGD)是计算监管资本的重要参数,也是实施内部评级法I(RB)高级法的银行必须自行估计的参数。文章阐述了巴塞尔新资本协议对高级法LGD计算的要求——衰退期违约损失率,分析了传统LGD测算方法的不适应之处,提出了类似于条件PD计算思想的测算方法框架,并结合我国银行业的实际针对LGD测算提出了相应的建议。更多还原

【Abstract】 Loss Given Default(LGD) is a very important variable in calculating the regulatory capital,as well as a variable that must be measured by the banks which practice the advanced IRB.This paper firstly states the requirement of New Basel Accord on the advanced IRB-the downturn LGD;and then points out the drawbacks of traditional approaches to calculating LGD,which fail to match the requirements;and next puts forward a new framework for measuring depressing LGD,which is similar to the approach to measuring conditional PD;and finally provides some corresponding advices on measuring LGD to our banking.更多还原