Loan Examination and Credit Risk Management

贷款审查和信用风险管理

• 批准号: 13630113
• 负责人: TAKAHASHI Toyoharu
• 金额: $ 2.18万
• 依托单位: CHUO UNIVERSITY (2002-2004)Takachiho University (2001)
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2001
• 资助国家: 日本
• 起止时间: 2001 至 2004
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-13630113/
• 关键词: risk management; loan; loan examination; credit rating; credit risk; corporate bond; LIBOR spread

New regulations for the capital requirement for market risk imposed by the Bank for International Settlements (BIS) in 1993 made great strides in developing and testing Value at Risk (VaR) methodologies. Since then, numerous financial institutions made an effort to search of alternative "internal model" approaches to measuring the credit risk of a loan or portfolio of loans. This has led to a raging debate over whether internal models can replace regulatory models, and which areas of credit risk measurement and management are most amenable to internal models. Until now, much of this interesting debate, however, has been focused mainly on marketable instruments, rather than loans and loan portfolios.These recent development caused great gap between traditional credit risk measurement mainly used by practitioners for the loan examination, and new internal approach. Our research contains:1. investigating the credit risk measurement approach include:・Credit rating approach・Credit scoring approach・Value at Risk approach・Option approach (applying option pricing theory on loans and bonds)2. integrating cash flow valuation model and credit risk3. applying asset swap concept and measuring LIBOR spreadWe can find lower credit rating widen LIBOR spread volatility in Japanese government and corporate bond market This may indicate simple credit rating approach or credit scoring approach on loan examination cause riskier loan portfolio to financial institutions.

1993年，国际定居银行（BIS）施加的对资本风险的新法规在开发和测试风险（VAR）方法的发展和测试价值方面取得了长足的进步。从那时起，众多金融机构努力搜索衡量贷款或贷款投资组合的信用风险的替代“内部模型”方法。这导致了关于内部模型是否可以替代监管模型以及哪些信用风险衡量和管理领域最适合内部模型的领域的激烈辩论。到目前为止，许多有趣的辩论主要集中在可销售的工具上，而不是贷款和贷款组合。这些最新的发展引起了传统的信用风险衡量标准，主要由从业人员用于贷款检查和新的内部方法。我们的研究包含：1。调查信用风险衡量方法包括：・信用评级方法・信用评分方法・价值AT风险方法・选项方法（在贷款和债券上应用期权定价理论）2。集成现金流量模型和信用风险3。应用资产交换概念并测量LIBOR SpreadWe可以在日本政府和公司债券市场中找到较低的信用评级较低的LIBOR差价波动，这可能表明对金融机构的贷款审查造成风险贷款组合的简单信用评级方法或信用评分方法。

项目成果

公社債流通市場におけるLIBORスプレッドの最近の動向

公共和公司债券二级市场 LIBOR 利差的最新趋势

• 发表时间: 2007
• 期刊: 企業研究 第11号
• 作者: 小川一仁;高橋広雅;二村英夫;二村英夫;高橋豊治;二村英夫;二村英夫(共著);高橋豊治;高橋豊治
• 通讯作者: 高橋豊治

Recent Trend of the LIBOR Spread in the Japanese Bond Markets

日本债券市场LIBOR利差近期走势

• 期刊: Shogaku Ronsan(The Journal of Commerce) Vol45,No.3(forthcomming)
• 作者: 高橋豊治;Toyoharu Takahashi
• 通讯作者: Toyoharu Takahashi

高橋豊治: "スワップマーケット情報を用いた債券流通市場分析"郵貯資金研究. 第12巻. 81-96 (2003)

Toyoharu Takahashi：“使用掉期市场信息的二级债券市场分析”邮政储蓄基金研究，第 12 卷，81-96 (2003)。