基于贝叶斯方法的信用风险损失分布研究

现代商业银行进行经济资本配置时,采用的损失分布函数都存在严重的失真问题。运用贝叶斯方法,充分利用各种信息对正态分布形式的信用损失分布进行了修正,得到信用风险损失分布的优化模型,结果表明：修正后的信用风险损失分布具有较高的精度,从而为商业银行经济资本管理提供了一种很实用的管理工具。

Research on Loss Distribution of Credit Risk with Bayes Method

When the commercial banks allocation the economics capitals,the loss distribution used has a several distortion problem.In this paper,we use Bayes method to correct the credit risk loss distribution in the normal distribution style with the data obtained from different sources and obtain a corrected credit risk loss distribution.The results indicate that the corrected credit risk loss distribution have better accuracy and can become a practical management tool for the commercial banks to allocate the economics capitals.