LGD模型框架及影响因素分析

摘要

在信用风险管理中,PD(即债务人违约的可能性)和LGD(违约损失率)是非常重要的两个基本要素.因此建立客户评级和债项评级的两维评级体系对增强风险计量十分重要.本文讨论LGD模型框架概述、LGD模型计算公式及构建逻辑、LGD模型因素及量化以及相关政策建议.帮助银行提升信用风险计量的精确性和标准化.%In the management of credit risk, PD (Probability of Default) and LGD (Loss Given Default) are two important factors.Establishing customer rating and debt rating is very important to strengthen the risk measurement.This paper introduces the LGD model framework, LGD model calculation formula and construction logic, LGD model factors and quantify, and relevant policy recommendations, helping banks to enhance the accuracy and the standardization of measuring credit risk.