Empirical Study On Loss Given Default Of Company Loans For SPDBANK

Commercial banks are closely linked with the risk of the industry, from another perspective, the banking business is in essence is to exist in various forms of risk. Loan to a bank's mainstay business, loss given default rate of a direct reflection of the bank in the public and business risks in lending to companies in the past a rough estimate of loss given default methodology to assess the risks of banks, increasingly unable to meet the practical requirements of the theory community and the practitioners are looking forward to the use of more objective and quantifiable method to accurately measure the rate of default loss.In this environment, the New Basel Capital Accord to China's banking sector, a more innovative risk management perspective. Its recommended IRB Credit Risk Measurement of China's banking industry and management of the completion of a basic work. This paper first describes the new Capital Accord, Internal Ratings-Based Approach and its foundation the concept of variable; and loss given default rate-dependent at home and abroad on the basis of research results, respectively, for the measurement techniques, structural characteristics of the study research results were introduced. In the default loss rate measurement technology research, this paper, a variety of loss given default (LGD) measurement technology of the systematic introduction; in empirical research, this paper, a commercial bank in China from 1995 to 2009 data from the sample between the breach of contract using the IRB advanced method for the loss given default (LGD) was the basis of calculation, based on industry size, locations, etc. statistics separately for the loss given default (LGD), and analyzed under different statistical caliber loss given default rate characteristics; combination of loss given default (LGD) calculations based on the analysis, given China's commercial banks pledge goods arrived in a new classification andIn this paper, the risk of default on the bank's credit loss rate of topical studies focused on analyzing the following two questions:First, the primary assessment method, within, through the arrival pledge collateral to re-classification, verification of the rate of default losses correspondence.The second is the Advanced Internal Ratings-Based Approach, using the method of calculating the weighted history, in the enterprise scale, regional factors such as the loss of default under the terms of different rates, validation of high-laws of history weighted operability. To solve the above two issues of the characteristics of this empirical study, but also its innovative point. Primarily secured by a pledge arrived in loan recovery factors in the company's role in risk reduction, re-combing of the primary loss given default rate under the law of selection method, and made a pledge of goods arrived in each category management approach; the use of a domestic commercial banks, 15 years of default data, which under the law of the history of high-level weighted empirical model to verify the historical data at this stage, the weighted model under the conditions of operability.