經濟衰退期間違約損失率之預測

Predicting the Loss Given Default During the Economic Recession

鍾麗英(Ly-Inn Chung) ； 葉家齊(Chia-Chi Yeh)

《中國統計學報》 58卷3期 (2020/09) Pp. 221-271

摘要

違約損失率（Loss Given Default，簡稱LGD）是新巴塞爾協定進階內部評等法中用以衡量損失和估計計提資本的重要變數之一，新巴賽爾資本協定（Basel II）中要求銀行必須使用經濟不景氣時的違約損失率估計，以得到一個較為保守的計提資本。但是銀行不會在經濟不景氣時才估計違約損失率，必須用透過平常時期估計的違約損失率去轉換。但Basel II中並沒有明訂關於經濟衰退期間違約損失率的轉換函數,這也是很多學者研究的目標。經濟衰退期間違約損失率的轉換函數通常是透過推導違約機率的分配，並給定一個較為極端的分位數（表示經濟狀況不佳）之後求得。我們認為違約損失率的分配不一定是常態分配，透過不同的分配假設，並比較不同的分配假設之下轉換函數的表現，探討哪一個分配推導出的轉換函數為違約損失率合理估計值。

關鍵字

新巴賽爾資本協定 ； 風險管理 ； 違約損失率 ； 風險計提資本

並列摘要

Loss Given Default is one of the important variables which measures credit losses and estimate capital economic in IRB approach. In order to obtain a more conservative estimation of economic capital, the Basel II requires banks to use estimates of loss given default during the economic downturn. However, it’ll be too late for banks to estimate loss given default when the economy is in a down-turn. They must estimate the loss given default by converting the estimation of the loss given default during usual period. Compared with probability of default, Basel II does not specify a conversion function for the loss given default, which is also the goal of many scholars. The conversion function of loss given default during economic downturn is usually obtained by deriving the distribution of loss given default and calculating the conditional loss given default given an extreme quantile (indicating a poor economic situation). We believe that the distribution of loss given default is not necessarily a normal distribution. Our goal is to ac-quired a reasonable estimate of the loss given default by using different distribution hypotheses of loss given default, and comparing the performance of the transfer function under different distribution hypotheses.

並列關鍵字

Basel II ； Risk Management ； Loss Given Default ； Economic Capital

參考文獻

Aas, K. (2005). The basel II IRB approach for credit portfolios: A survey. Norsk Regnesentral, Norwegian Computing Center.

Altman, E. I., Brady, B., Resti, A. and Sironi, A. (2005). The link between default and recovery rates: Theory, empirical evidence, and implications. The Journal of Business, 78(6), pages 2203-2228.

Frye, J. (2013). Loss given default as a function of the default rate. Federal Reserve Bank of Chicago, pages 1-13.

Hull, J. C. (2012). Risk management and financial institutions, 3rd edition, Hoboken: John Wiley & Sons.

Hull, J. C. and White, A. D. (2004). Valuation of a cdo and an n-th to default cds without monte carlo simulation. The Journal of Derivatives, 12(2), pages 8-23.