Loss Given Default Quantitative Models For Non-performing Loans Of China

Dealing with the Non-performing loans is the most important things of economic and financial issues.Last 15 years, large outbreaks of the financial crisis-the Asian financial crisis and subprime mortgage financial crisis are closely connected with the banking non-performing assets, namely the most direct cause of the excessive accumulation of non-performing assets of banks.Non-performing loans are the major of non-performing assets. Since the third quarter of 2008, Banks of China are still have more than 1265.43 billion Non-performing loans, about 5.49%, state-owned banks are the main source of non-performing loans.China's banking industry is facing the current mortgage crisis and the New Basel Capital Accord fully implemented in 2010,state-owned banks also face to past non-performing loans, the impact of the subprime crisis, and should prevent more non-performing loans, so banks of China have a lot of issues to be resolved.Subprime mortgage crisis happened in the U.S. in 2007 and reached its peak in 2008-2009, a large number of banks and other financial institutions and countries are involved with it. Capital adequacies of banks are significantly less than facing serious liquidity risks. According to the U.S. Federal Deposit Insurance Corporation (FDIC)' report shows that only the bankruptcy of the bank in 2009 are as high as 100, while the estimating cost of rehabilitation for the insolvent bank would need hundreds of billions of dollars. Although the environment of economic and financial has improved, but there are significant risks,such as the bankruptcy of Iceland, Greece and other countries. So managing and disposalling of non-performing loans is the core issue.In the heavy pressure of the external financial environment, in 2010 some of our big state-owned banks begin to carry out the new Basel Capital Accord, while in 2012 there will be more state-owned banks and commercial banks will fully implement the new Basel Capital Accord,. the credit risk of New Basel Capital Accord, is the main risks of China's banking industry. Full implementation of Basel II credit risk of the IRB, not only giving the bank more free capital management, but also requires more precision and accuracy of quantitative models for credit risk.The New Basel Capital Accord have four key factors:PD (PD), Loss Given Default (LGD), exposure of default (EAD) and maturity (M). Where LGD estimates are closely related with PD,and they are the two-dimensional part of credit rating system.PD has been researched from the banking and credit rating agencies for a long time, but the loss given default rate (LGD) began to be concerned from the late 90's The domestic research started later, most of them still in the qualitative description. And China's banking non-performing loans and foreign LGD are significant difference, the unique Chinese characteristics decisides the system of LGD for analysis and modeling is different from foreign countries. The Main differences are:the causes of non-performing loans; the distribution of LGD for non-performing loans; Influencing factors of non-performing loans, so our LGD quantitative models for non-performing loans are different. Based on the largest LGD database of China-LossMetricTM, we analyze the LGD data from Bank of China, Industrial and Commercial Bank of China and China Construction Bank, including 17 provinces and cities and 21 industries, more than 20,000 data. The paper is around "the discriminant classification model to the generalized linear prediction model, "" the point forecasting models to the estimation models of distribution "and" the static model to the dynamic macro-factor model". The specific structure is as follows:Chapter 4 discusses the causes of Non-performing loans in China, and its distribution characteristics of LGD, and the disposalling of Non-performing loans, the international situation and the quantitative model framework of LGD;Chapter 3 discusses the factors of the debtor, the credit itself,the disposition effect and many other macro-economic factors,analysis the key factors for LGD of non-performing loans in China;Chapter 4 Uses logistic method, and construct a recovery rate(1-LGD) of non-performing loans of small and medium enterprises, constructs discriminant model to analyze a complete recovery (recovery rate= 1), completely non-recovery (recovery rate= 0), the lower of the recovery (o