Commercial Bank Corporate Loans LGD Measurement Empirical Research
|Keywords||LGD rateng IRB Corporate loans|
Through many years of exploration and improvement, after several economic crisis and financial turmoil, the formation of the international banking Basel (BASEL Ⅱ&Ⅲ), a banking security, stability and sustainable development of the necessary conditions. The agreement is the core of risk measurement Internal Ratings Based (IRB), Loss Given Default (LGD), Probability of Default (PD) and Exposure At Default (EAD) composed of three core parameters of the IRB, and three parameters measurement issues throughout the BASEL Ⅱ&Ⅲ has three pillars.China’s banking status quo is three core parameters especially LGD serious deficiencies. One reason is due to China’s banking credit data accumulation and the lack of a unified standard late start, the second is due to the four major state-owned bank shares were listed prior to stripping and commercialization of non-performing loans sold, LGD modeling data and not real serious deficiencies in as for PD, LGD estimation model will produce larger deviations, therefore, China’s commercial banks to carry out rapid LGD research, China’s banking as soon as possible a more complete and effective LGD, to establish a scientific LGD model that can improve China’s banking risk management, consolidate the implementation of China’s banking to BASEL Ⅱ&ⅢOn the other hand, after surpassing Japan in economic size, China has become the world’s second largest economy, but China’s financial banks determine their international credit rating in the world of voice and pricing. In the international credit rating market dominated by Standard&Poor’s, Moody’s and Fitch, the three companies, the monopoly of the world’s financial industry credit rating market. Chinese financial institutions to implement the "going out" strategy, reducing the cost on international road, the more realistic approach is the need to strengthen research and credit rating LGD cooperation between LGD database for the quantification and prediction of different grade corporate credit default losses, improve rating model to create favorable conditions in terms of accuracy. Our2013implementation of the "commercial bank’s capital management approach (Trial)" as well as the international Basel probability of default (PD) and loss given default (LGD) into the basic framework of regulatory capital measure, domestic and foreign banks in the previous study PD based on research into both PD and LGD period, and increasingly more attention LGD showing a trend.Based on the domestic and foreign research results LGD theory and empirical review of a domestic commercial bank loan business LGD an empirical study,we made some conclusions and put forward relevant proposals. The first part is an overview of LGD, mainly by drawing on literature studies LGD to explain its definition and characteristics of credit risk through the implementation of the IRB requirements, proposed debt of domestic banks to establish the necessity and rating models urgency. The second is being under the IRB approach focuses, LGD estimates the elements and requirements, while outlining several LGD estimation methods and their advantages and disadvantages. The third part is a bank loan through the actual data, LGD estimates. In the introduction of several specific measurement methods based on specific demonstrated in practical work, corporate loans LGD measurement procedures, requirements and measurement results. The fourth part is through domestic loans LGD measurement studies, we draw conclusions and make our own suggestions.