第三章主要针对单一债项的违约损失率量化方法进行理论推导。
Chapter 3 is mainly engaged in the theory deduction of measurement method of single debt's LGD.
违约损失率(LGD)是巴塞尔新资本协议中ir B法中最重要的参数。
Loss Given Default (LGD) is one of the most important parameters within Internal Risk Based approach (IRB) in the New Basel Capital Accord.
实际贷款损失如果大大超过预计的违约损失率会导致银行的自有资本严重损耗。
Large actual loan loss exceeding the estimated LGD could lead to a serious depletion of bank's equity capital.
考虑违约损失率与违约概率的相关性。(5)与RAROC结合研究我国商业银行的经济资本配置方法。
Consider the relativity between Loss Given Default and Probability of Default. (5) Study on the collocation of economic capital of our country's commercial Banks combining with RAROC.
文章对违约概率、违约损失率、违约敞口、期限因素以及违约相关性等信贷资产组合信用风险的风险因子的度量进行了综合研究。
In this article, the author presents his studies in measuring such credit risk factors as default possibility, default loss, default exposure and maturity and default...
文章对违约概率、违约损失率、违约敞口、期限因素以及违约相关性等信贷资产组合信用风险的风险因子的度量进行了综合研究。
In this article, the author presents his studies in measuring such credit risk factors as default possibility, default loss, default exposure and maturity and default...
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