摘要
The internal rating-based approach is the core content of New Basel Accord.The 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 effect.Based 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 model.Also expected losses are calculated by neural network based on Levenberg-Marquardt algorithm.Therefore,loss given default could be work out by the function among probability of default,loss given default and expected losses.Empirical results show that this model could be of certain validity and feasibility to forecast probability of default and loss given default.
The internal rating-based approach is the core content of New Basel Accord.The 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 effect.Based 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 model.Also expected losses are calculated by neural network based on Levenberg-Marquardt algorithm.Therefore,loss given default could be work out by the function among probability of default,loss given default and expected losses.Empirical results show that this model could be of certain validity and feasibility to forecast probability of default and loss given default.
出处
《统计研究》
CSSCI
北大核心
2004年第12期22-26,共5页
Statistical Research
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
