内部评级法中违约概率与违约损失率的测算研究

作     者：于立勇 詹捷辉 金建国 Yu Liyong etc

作者机构：北京大学光华管理学院应用经济学博士后流动站 哈尔滨工业大学金融研究所 

出 版 物：《统计研究》 (Statistical Research)

年 卷 期：2004年第21卷第12期

页      面：22-26页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 

基　　金：国家自然科学基金--WTO与中国商业银行的改革与创新 (项目号 :70 3 73 0 12 )的资助 

主　　题：违约损失率 违约概率 内部评级法 测算 研究 

摘      要：The internal rating-based approach is the core content of New Basel *** calculation of probability of default,loss given default,expected losses and other concerning factors are the key steps to bring internal rating-based approach into *** on the practical data of our state-owned commercial banks,a relative scientific evaluating system is established in this paper by stepwise discriminant analysis,and a probability of default forecasting model is constructed by Bayes discriminant *** expected losses are calculated by neural network based on Levenberg-Marquardt ***,loss given default could be work out by the function among probability of default,loss given default and expected *** results show that this model could be of certain validity and feasibility to forecast probability of default and loss given default.