内部评级模型中的长期中心违约趋势估计研究

李海涛

内部评级模型中的长期中心违约趋势估计研究

引用本文：李海涛.内部评级模型中的长期中心违约趋势估计研究[J].财经理论与实践,2014,(1):15-20

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作者	单位
李海涛	(上海浦东发展银行风险政策部,上海200002)

中文摘要:国内关于内部评级模型中长期中心违约趋势（以下简称“CT”）估计的研究基本处于空白状态，国外文献中也鲜见类似研究。作为新资本协议内部评级模型中的唯一校准参数，商业银行应在监管的审慎性要求和银行自身的准确性要求之间权衡，基于实际违约数据对CT进行合理的估计。为此，在列明监管合规关注点的基础上，构建CT估值框架，设计估值模型，并进行实证研究。压力情境下的实际违约率估算结果表明，CT结果满足了审慎性要求。

中文关键词:新资本协议内部评级模型长期中心违约趋势

Research on Estimation of Central Tendency in Internal Rating Model

Abstract:In internal rating models, central tendency（CT） indicates the mean long-term probability of default. There has been few studies on the measuring of CT, especially in China. As the only factor used to calibrate the internal rating model under Basel II framework, CT should be calculated based on actual default data. Prudential requirements of banking regulatory authorities and accuracy standards for bank's internal control must both be met. This paper made an explorative attempt to solve this problem. First, it examined the CT-related aspects in the regulatory documents. After that, a CT measuring framework was established and a measuring model designed. Empirical calculation was carried out based on the model. The actual default rate in the stress tests shows that this paper proposed a prudential methodology for CT estimation.

keywords:Basel II Internal Rating Model Long-term probability of default

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