Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Journal of Beijing Institute of Technology(Social Sciences Edition)》 2006-05
Add to Favorite Get Latest Update

On the Measuring Approach to the LGD under the New Basel Accord

REN Yu-hang1,HOU Guang-ming1,SUN Xiao-kun2(1.School of Management and Economics Beijing Institute of Technology,Beijing 100081;2.China Development Bank,Beijing 100037)  
Loss Given Default(LGD) is a very important variable in calculating the regulatory capital,as well as a variable that must be measured by the banks which practice the advanced IRB.This paper firstly states the requirement of New Basel Accord on the advanced IRB-the downturn LGD;and then points out the drawbacks of traditional approaches to calculating LGD,which fail to match the requirements;and next puts forward a new framework for measuring depressing LGD,which is similar to the approach to measuring conditional PD;and finally provides some corresponding advices on measuring LGD to our banking.
【CateGory Index】: F830.5
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
【References】
Chinese Journal Full-text Database 3 Hits
1 DUAN Sheng ,XU Nuo (1. Southwestern University of Finance and Economics, Chengdu, Sichuan, 611130; 2.North China Electric Power University, Beijing 102206);A Review on the Research of LGD Model of Financial Risk Statistic in China[J];Social Sciences Perspectives in Higher Education;2011-03
2 Zhou Ying;Ning Xuemin(Shanghai Graduate School,University of Science and Technology of China,Shanghai 200135,China;School of International Business Administration,Shanghai University of Finance and Economics,Shanghai 200439,China);The Internal Rating System of Western Commercial Banks and Its Inspiration for China[J];Value Engineering;2009-08
3 WANG Cheng-hao~1,LAI Kin-keung~2,DONG Ji-chang~1 (1.School of Management,Graduate University of Chinese Academy of Sciences,Beijing 100190,China;2.Department of Management Sciences,City University of Hong Kong,Hong Kong,China);Reviewing prevention of the credit risk of real estates[J];Systems Engineering-Theory & Practice;2010-03
【Citations】
Chinese Journal Full-text Database 2 Hits
1 Yu Liyong etc;Measuring Probability of Default of Internal Ratings-Based Approach and Loss Given Default[J];Statistical Research;2004-12
2 Liu Hongfeng,Yang Xiaoguang;Measuring Loss Given Default:International Experience and Implications[J];Management Review;2003-06
【Co-citations】
Chinese Journal Full-text Database 10 Hits
1 HUANG Fei-fei,CHEN Jin-long(College of Business Management,Huaqiao University,Quanzhou,Fujian 362021,China);Comparative Study on the Factors Influencing Recovery Rate at Home and Abroad[J];Commercial Research;2006-19
2 XIA Xiao—dong;Path to China's Banking Economic Capital Management——Thought Inspired by New Basle Accord[J];Finance Forum;2007-07
3 WANG Jian-xin~1,YU Li-yong~2(1.Management School of Harbin Institute of Technology,Harbin 150001,China;2.Guanghua School of Management,Peking University,Beijing 100871,China);Study on Commercial Bank Credit Risk Assessing Model Based on Credit Risk Degree[J];Journal of Industrial Engineering and Engineering Management;2007-04
4 DUAN Sheng ,XU Nuo (1. Southwestern University of Finance and Economics, Chengdu, Sichuan, 611130; 2.North China Electric Power University, Beijing 102206);A Review on the Research of LGD Model of Financial Risk Statistic in China[J];Social Sciences Perspectives in Higher Education;2011-03
5 HONG Lu;;A Study of Loss-Given-Default Prediction Model for Residential Mortgage Loan[J];Finance Forum;2014-01
6 BAI Shao-bu1,2(1.School of Business,Nanjing University,Nanjing 210093,China;2.Nanjing Institute of Technology,Nanjing 211100,China);A Research into the Risk Early-warning of Enterprise Supply Chain Financing Based on Ordered Logistic Model[J];Economic Survey;2010-06
7 Taishan Dai Min Chen Xiaoguang Yang;Structural Characteristics of Loss Given Default under Credit Guarantees: Empirical Evidence for China[J];South China Journal of Economics;2008-08
8 LI Haitao;;A Study of the Design of Nonlinear Multi-constraint Internal Rating Models of Default Probability[J];Financial Regulation Research;2014-11
9 DING Dong-yang~1 ZHOU Li-li~1 LIU Le-ping~2 (1.Nanchang University,Jiangxi Nanchang 330031,China; 2.Tianjin University of Finance and Economics,Tianjin 300222,China);Bayesian Methods in Credit Risk Measurement:A Survey[J];Journal of Applied Statistics and Management;2013-01
10 Liu Chang , Zhang Xueming , Mo Ni;An Empirical Study on Internal Rating Model of SMEs’Loans for Commercial Banks[J];Review of Investment Studies;2013-05
【Co-references】
Chinese Journal Full-text Database 10 Hits
1 YU Rui-xian,ZHOU Jiang(School of Business,Beijing Institute of Machinery,Beijing 100085,China);New idea of credit risk management of commercial banks in China[J];Journal of Beijing Institute of Machinery;2007-02
2 ZHANG Ran, HOU Guang-ming (School of Management and Economics. Beijing Institute of Technology, Beijing 100081);IRB Approach and Credit Risk Management in China Commercial Bank[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2005-02
3 CHENG gong1,REN Yu-hang2(1.School of Management Tianjin University,Tianjin 300072;2.School of Economics and Management Beijing Institute of Technology,Beijing 100081);A Study of the Validation of Credit Risk Model[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2006-01
4 HUANG Fei-fei,CHEN Jin-long(College of Business Management,Huaqiao University,Quanzhou,Fujian 362021,China);Comparative Study on the Factors Influencing Recovery Rate at Home and Abroad[J];Commercial Research;2006-19
5 ZHANG Yun,LI Xiu-zhen(Shanghai Lixin University of Commerce,Shanghai 201600,China);The Study on Introducing IRB Approach of Basel Ⅱ to Risk Management in Chinese Commercial Banks[J];Commercial Research;2006-20
6 ;资本配置:商业银行风险管理的核心[J];Finance and Economics;2004-03
7 Yu Guopei;Value Creation-Oriented Performance Assessment System for Commercial Banks[J];Finance & Economics;2007-03
8 ;Experience and Enlightenment from International Banks m Credit Concentration Risk Management[J];The Chinese Banker;2008-07
9 LIU Bai-hua(Department of International Economics and Trade, Nankai University, Tianjin 300071,China);A Deep Analysis on the Kin-cyclicity of Basel Ⅱand the Feasibility of Coordination of International Policies[J];The Study of Finance and Economics;2003-09
10 PENG Jian gang, XIANG Shi, WANG Jian wei (College of Finance,Hunan University,ChangSha,Hunan 410079,China);The New Basel Accord Internal Ratings-Based Approach's Basic Assumptions and Its Impact on the Banking System of China[J];The Theory and Practice of Finance and Economics;2005-01
【Secondary References】
Chinese Journal Full-text Database 5 Hits
1 ZHOU Mao-li;China Railway 17th Bureau 1st Engineering Co.Ltd;;Analysis on real estate industry and relevant macro-policy[J];Shanxi Architecture;2014-18
2 Project Group of Jinan Branch, PBoC;A Study on the Development of China's Credit Industry from Subprime Mortgage Crisis[J];Journal of Financial Development Research;2009-12
3 Research Group in Laiwu Sub-branch of PBC;Professional Production and Buyout Consumption of SMEs' Credit Rating Product:Mode in Shandong Laiwu Commercial Bank[J];Journal of Financial Development Research;2010-04
4 LIU Jian-hua,HAN Chun-yan (Baotou City Centre Branch,China People's Bank;Baotou 014010);The Real Estate with Rapid Development and Worry——The Survey Based Baotou City Real Estate Market and Finance Situation in Real Estate[J];Yinshan Academic Journal(Natural Science Edition);2010-04
5 ZHANG Guo-xing;LIU Peng;WANG Ying-luo;GUO Ju-e;School of Management,Xi'an Jiaotong University;School of Management,Lanzhou University;;Early warning model of concentrated credit defaults for bank[J];Systems Engineering-Theory & Practice;2013-12
【Secondary Citations】
Chinese Journal Full-text Database 3 Hits
1 By WANG Chun feng,LI Wen hua(School of Management,Tianjin University,Tianjin 300072,China);Credit Risk Assessment in Commercial Banks: Projection Pursuit Discriminant Model[J];JOURNAL OF INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT;2000-02
2 WANG Chun feng,LI Wen hua Center for Financial Engineering, School of Management, Tianjin University, Tianjin 300072,China;Credit risk assessment in commercial banks under less samples[J];Journal of Manegement Sciences In China;2001-01
3 YU LiyongGuanghua School of Management, Peking University, Beijing 100871, China;Study on credit risk assessing and forecasting model in commercial bank[J];Journal of Management Sciences in China;2003-05
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved