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目前商业银行的主要业务还是集中在信贷业务,如何对贷款进行组合管理是银行所面临的问题。传统的马柯维茨均值——方差模型贷款组合模型,是以收益的方差作为风险度量指标,只考虑了市场风险,而没有考虑到企业的违约风险。本文用Merton模型根据企业财务数据估算出企业的预期违约概率,考虑了企业在违约情况下的收益率,把企业的违约概率纳入到组合模型中。用估算出来的违约概率和违约损失率计算出银行收益的波动性,再运用企业收益的相关性代替企业违约的相关性,根据现代组合分析模型得出收益-风险的有效前沿,从而使银行可以根据收益和风险承受能力对企业进行授信。
At present, the main business of commercial banks is still concentrated in the credit business. How to manage portfolio loans is a problem facing the banks. The traditional Markowitz mean-variance model loan portfolio model uses the variance of returns as a measure of risk, taking into account only market risk, without taking into account the default risk of the firm. In this paper, Merton’s model is used to estimate the expected probability of default of an enterprise based on the financial data of the enterprise. The rate of return of an enterprise under default is taken into account, and the default probability of the enterprise is included in the combined model. Using the estimated probability of default and the default loss rate to calculate the volatility of bank returns, and then use the relevance of corporate earnings instead of the correlation of corporate defaults, according to the modern portfolio analysis of the yield - the effective frontier of risk, so that banks can Credit facilities to businesses based on profitability and risk appetite.