多银行贷款池的组合违约风险研究

资产组合的违约风险是决定其定价的重要因素.根据多银行贷款池这样一类特殊的资产组合的契约特征,可将其组合违约风险的影响因素分解为:1)宏观的系统风险因素;2)各贷款银行的风险因素;3)各债项的异质风险因素.在此基础上,构建了反映这类贷款池的违约风险和相关性结构的多因素模型,并在条件独立性假设和多元正态分布假设下,得到了该贷款池的违约行为随机特征.数值分析表明,多元正态分布的因素模型能够比较清楚地刻画所研究的多银行贷款池的组合违约风险.

Portfolio default risks of multi-bank loan pools

Portfolio default risk is the key for loan portfolio pricing.Multi-bank loan pool is a special type of asset portfolio.According to its characteristics of Risk-Return tradeoff,factors influencing the portfolio default behavior can be separated into three parts:(1)systematic risk factor;(2)multi-bank risk factor;(3)loan' s heterogeneous risk factor.This paper constructs a multi-factor model to grasp the portfolio default risk and the dependence of the loan pool.Under the conditional independence and multi-variable Gaussian distribu- tion,the stochastic characteristics of the loan pool are obtained.In addition,the numerical analysis indicates that the above multi-factor model with the multi-variable Ganssian distribution can describe the portfolio default behavior of multi-bank loan pool.