我国银行贷款违约损失率影响因素的实证分析
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上海财经大学学报 2007 年 第 09 卷第 03 期, 页码：56 - 62
摘要
参考文献
摘要
本文利用某国有商业银行的贷款数据资料,运用主成因子分析对贷款样本的LGD进行统计分析并确定影响因素的重要性及排序。本文结论为:影响我国商业银行贷款LGD的因素依次为企业的信用等级、贷款担保方式、企业的行业属性;企业规模、企业经济类型、贷款担保方式等因素对LGD的影响都很弱。此外,本文验证了PD和LGD之间存在一定的关系,并非相互独立。
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①Range of Practice in Banks’Internal Rating System,Model Task Force,Basel Committee,June.2000.
②Greg,M.Gupton,Roger.M,Stein,Feb.2002,LossCalc:Model for Predicting Loss Given Default,SpecialComment,Moody’s Investors Service.
④参阅张海宁,2004,《银行反对银行,巴塞尔新资本协议与中国信用风险分析》[M],清华大学出版社,第143~169页。
[2]Thornburn.K.Bankruptcy auction,debt recovery and firm survival[J].Journal of Financial Economics,2000.
[3]Asarnow.Elliot&David Edwards.Measuring Loss on Defaulted Bank Loans:A 24-year Study[J].Jour-nal of Commercial Lending,1995.
[4]Carey Mark.Credit Risk in Private Debt Portfolios[J].Journal of Finance,1998,6(2):78~82.
[5]Eales.R&E.Bosworth.Severity of Loss in the Event of Default in Small Budinrdd snf Large ConsumerLoans[J].Journal of Lending&Credit Risk Management,1998.
[6]Carty.L&D.Liebernan.Defaulted Bank Loan Recoveries,Mood's Special Comment[D].NBER workingpape,1996.
[7]Grossman.R、S.O'Shea&S.Bonelli.Bank Loan and Bond Recovery Study:1997-2000Fitch Loan ProductSpecial Report[D].NBER working pape,2001.
[8]Frye.J.Depressing Recoveries,Chicago Fed working paper,an abridged version appeared in Risk[D].NBER working pape,2000.
[9]Til Schuerman.What do we know about Loss Given Default[D].Federal Reverse Bank of New York work-ing paper,Feb.2004.
[10]Greg,M.Gupton,Roger.M,Stein,Feb.LossCalc:Model for Predicting Loss Given Default,Special Com-ment,Moody's Investors Service[J].Journal of Financial Economics,2002,8(2):13~19.
[11]Altman,Edward I&Jason Pompei.The Performance of Default Bonds and Bank Loans:1987~2001[D].NYU Salmon Center Working Paper,2002.
[12]Hu&W.Peraudin.The Dependence of Recovery Rates and Defaults[D].CEPR working paper,2002.
[13]武剑.内部评级法中的违约损失率(LGD)模型—新资本协议核心技术研究[J].国际金融研究,2005,(2).
[14]沈沛龙,崔婕.内部评级法中的违约损失率的度量方法研究[J].金融研究,2005,(12).
[15]陈忠阳.违约损失率(LGD)研究[J].国际金融研究,2004,(5).
[16]张海宁.银行反对银行,巴塞尔新资本协议与中国信用风险分析[M].北京:清华大学出版社,2004.
①Range of Practice in Banks’Internal Rating System,Model Task Force,Basel Committee,June.2000.
②Greg,M.Gupton,Roger.M,Stein,Feb.2002,LossCalc:Model for Predicting Loss Given Default,SpecialComment,Moody’s Investors Service.
④参阅张海宁,2004,《银行反对银行,巴塞尔新资本协议与中国信用风险分析》[M],清华大学出版社,第143~169页。
引用本文
汪办兴. 我国银行贷款违约损失率影响因素的实证分析[J]. 上海财经大学学报, 2007, 9(3): 56–62.
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