商業信貸風險參數計算（pdf 74）

Abstract
Under the Basel II regime, banks can choose among different approaches to
measure the regulatory capital to underpin their risky assets. From the point
of view of the amount of capital required, the Retail IRB Approach can be very
advantageous. To satisfy its requirements, banks have to estimate sensible values
for the risk parameters Probability of Default (PD) and Loss Given Default (LGD)
on the basis of their own default and loss data. In part due to the segmentation
rules particular to the Retail IRB Approach, this is very difficult, and the simple
calculation of relative frequencies will not do in general – the sample data do not
allow one to make a sensible distinction between the structure of the default and
loss densities and the randomness of the sample data, as we see in this thesis;
all methods we derive for computing risk parameters are developed using real
bank data.
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