銀行授信信用風險溢酬之衡量（推荐pdf73）

911(2001)1234567891011121314151617181920212223+=∑=ijnjjiXZ1b24()iZieZF-+=11252627()tVFfVAAE,,,s=()()21dNFedNVVrtAE--=ttrFVdAAA221/21lnss⎥⎦⎤⎢⎣⎡⎟⎠⎞⎜⎝⎛++⎟⎠⎞⎜⎝⎛=tddA212s-=()tVFgAAE,,,ss=()EAAEVVdNss1=28()ApodefaultVEsint..-293031∑==siiitotalp1mm∑=-=sitotaliitotalp122mmsipim32totalmtotals∑==siiitotalp1mm()∑=-+=sitotaliiitotalp1222msms3334353637()RKP+=+11KRP++=11()P-1()RK-38()()()RKPPK+=++-+1111g()()PK-+11ggg--++=111kRP=CS()()RPPRRK+--++=-11gg()()[]()RPPR+--++111g()[]rPP-+1gg--++=111tttDLP3911P-tP-1tPPPP'*'''''*'**321TQ[]tPPP'*''''*'*121-()()TTTttTttTTRPPRCS+-⎥⎦⎤⎢⎣⎡⎟⎟⎠⎞⎜⎜⎝⎛-++=∏∏==111111g()()[]()TTTTTRQQR+-+-+1111g404142(CS)Gama0.10.20.30.40.50.60.70.80.91.15%1.14%1.13%1.11%1.08%1.05%1.00%0.91%0.71%1.22%1.21%1.19%1.16%1.13%1.08%1.01%0.88%0.61%0.66%0.65%0.64%0.63%0.62%0.60%0.57%0.52%0.44%2.92%2.90%2.88%2.86%2.82%2.77%2.69%2.53%2.12%0.06%0.06%0.06%0.06%0.06%0.06%0.06%0.06%0.06%0.65%0.65%0.65%0.64%0.63%0.61%0.58%0.54%0.40%1.43%1.41%1.40%1.38%1.36%1.33%1.28%1.15%0.95%7.81%11.88%17.36%24.90%35.52%50.83%73.27%105.77%151.16%44.09%44.83%45.99%47.83%50.83%55.90%64.86%81.53%113.27%4344(-CS)Gama0.10.20.30.40.50.60.70.80.9-1.47%-1.46%-1.44%-1.42%-1.40%-1.36%-1.31%-1.22%-1.02%-1.56%-1.56%-1.55%-1.54%-1.52%-1.47%-1.39%-1.25%-0.98%0.87%0.87%0.87%0.86%0.86%0.86%0.86%0.86%0.88%0.27%0.28%0.29%0.30%0.32%0.34%0.38%0.51%0.77%-3.70%-3.69%-3.68%-3.67%-3.65%-3.61%-3.56%-3.46%-3.18%092929292929190898695.8%95.8%95.8%95.8%95.8%94.8%93.8%92.7%89.6%-2.05%-2.04%-2.04%-2.03%-2.02%-1.99%-1.90%-1.72%-1.64%-0.83%-0.83%-0.81%-0.79%-0.75%-0.72%-0.68%-0.58%-0.31%454647()gPP-+1()LEQ()()()RPPRCS+--++=111g()()[]()RQQR+-+--+=1111g()()()RQR+--+111gè()LE()=-g1QCSRCS++1RgP48E(L)=Q(1-Gama)=(CS)/(1+K)Gama0.10.20.30.40.50.60.70.80.91.08%1.07%1.05%1.04%1.01%0.98%0.93%0.85%0.66%1.13%1.11%1.10%1.08%1.05%1.01%0.95%0.82%0.57%0.61%0.61%0.60%0.59%0.58%0.56%0.53%0.49%0.41%2.73%2.72%2.70%2.68%2.64%2.60%2.52%2.38%2.00%0.06%0.06%0.06%0.06%0.06%0.06%0.06%0.06%0.06%0.62%0.62%0.61%0.60%0.59%0.57%0.54%0.50%0.38%1.34%1.32%1.31%1.29%1.27%1.24%1.20%1.08%0.89%8.71%12.92%18.56%26.28%37.14%52.81%75.91%109.86%158.52%44.33%45.14%46.38%48.31%51.42%56.62%65.77%82.75%115.16%49()LEQ()LE()g-1Qè()g-=1LEQQ=E(L)/(1-Gama)Gama0.10.20.30.40.50.60.70.80.91.20%1.33%1.51%1.73%2.03%2.46%3.11%4.24%6.65%1.25%1.39%1.57%1.80%2.10%2.51%3.16%4.08%5.66%0.68%0.76%0.86%0.98%1.15%1.39%1.77%2.46%4.12%3.03%3.39%3.85%4.46%5.29%6.49%8.40%11.88%19.97%0.07%0.08%0.09%0.10%0.12%0.15%0.20%0.30%0.58%0.69%0.77%0.87%1.00%1.17%1.42%1.80%2.50%3.78%1.49%1.65%1.87%2.15%2.54%3.10%3.99%5.39%8.94%8.71%12.92%18.56%26.28%37.14%52.81%75.91%109.86%158.52%44.33%45.14%46.38%48.31%51.42%56.62%65.77%82.75%115.16%504-551()()111g-=QLE()1LE1g()()221g-=QLE()()()()RLERCSE+--+=1112()2LE2gRECS5253542.01%2.09%139.37%89.57%1.29%6.59%0.03%550-0.10%A110.101%-0.3%B860.301-0.9%C980.901%-1.8%D23241.801%-2.7%E38322.701%-3.6%F12113.601-G512565758596022,Altman,EdwardI(1968),”FinancialRatios,DiscriminantAnalysisandThePredictionofCorporateBankruptcy”,TheJournalofFinance,Vol.23,No.4,pp589-609.23,Altman,EdwardI.,G.G.Halderman,andP.Narayanan(1977),”ZETAAnalysis:ANewModeltoIdentify,theBankruptcyRiskofCorporations”,JournalofBankingandFinance,Vol1,No.1,pp29-54.24,Altman,EdwordI,AndrenRestiandAndrenSironi(2002),”theLinkbetweenDefaultandRecoveryRates:EffectsontheProcyclicalityofRegulatoryCapitalRatios”,BISworkingpapers,No113.6125,AmemiyaT.(1981),”QualitativeResponseModels:ASurvey”JournalofEconomicLiterature19,pp.483-536.26,Beaver,WilliamH.(1966),”FinancialRariosasPredictorsofFailure”,JournalofAccountingResearch,Vol.4,pp.71-111.27,Black,FischerandMyronScholes(1973),”ThePricingofOptionsandCorporateLiabilities”JournalofPoliticalEconomy,Vol.81,No.3,pp.637-653.28,BsaleCommitteeonBankingSupervision(1999),CreditRiskModelling:CurrentPracticesandApplications.29,Jones,DavidandJohnMingo(1998),IndustryPracticsinCreditRiskModelingandInternalCapitalAllocations:ImplicationsforaModels-BasedRegulatoryCapitalStandardFRBNYEconomicPolicyReview,Oct.,pp53-6030,JohnsonRamon(1967),”TermStructuresofCorporateBondYieldsasaFunctionofRiskofDefault”,JournalofFinance,Vol.22,No.2,pp313-345.31,JPMorgan(1997),CreditMetricsTM-TechnicalDocument1stEd..32,Kao,Duen-Li(2000),”EstimatingandPricingCreditRisk:AnOverview”,FinancialAnalystsJournal,Vol.56,No.4,pp.50-66.33,KeetonW.R.andC.S.Morris,(1987),”WhyDoBanks’LoanLossesDiffer?”,EconomicReview,May,pp.3-21.34,MariusJ.L.Jonkhart(1979),OntheTermStructureofInterestRatesandtheRiskofDefault-AnAnalyticalApproachJournalofBankingandFinance,vol.3,pp253-262.35,MertonRobertC(1974),”OnthePricingofCorporateDebt:TheRiskStructureofInterestRates”,JournalofFinance,Vol.29,No.2,pp449-470.36,Nisbigucbi,Kenji,HirosbiKawai,andTakanoriSazaki(1998),”CapitalAllocationandBankManagementBasedontheQuantificationofCreditRisk”,FRBNYEconomicPolicyReview,Oct.,pp83-93.6237,Odom,M.D.(1989)”ANeuralNetworkModelforBankruptcyPrediction”,IJCNN-89,II,pp.163-168.38,Saunders,Anthony(2000),”FinancialInstitutionsManagement:AMordenPerspective”.3rd.39,ScottJ.A.andT.C.Smith(1986),“TheEffectoftheBan