【摘要】 本文结合Vasicek模型分析了信贷资产组合的异质性对信用风险损失的影响,并比较了模型中不同参数的异质性对损失的影响效果。分析结果显示,忽略异质性将对风险损失度量带来一定偏差,异质性对信贷组合的损失分布尤其是分布尾部具有较大的影响;较之信贷资产的行业相关性,违约率和违约波动率的异质性对损失分布的影响更为显著。更多还原

【Abstract】 In this paper,the impacts of heterogeneity of credit portfolio on credit losses are analyzed for the Vasicek model,also comparisons of impacts of different parameters are made.The results indicate that ignoring the heterogeneity of a credit portfolio can result in misestimating of distribution of credit losses,especially for the tail of the distribution,moreover,the credit losses is affected more by the heterogeneity of default rates and their volatility than the sector correlations.更多还原