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，国际固定银行（BIS）的资本要求的新法规在风险（VAR）方法的PING和测试价值方面取得了长足的进步。对于贷款或贷款投资组合的信用风险，CE监管模型以及哪些信用风险衡量和管理层最适合内部模型。和贷款投资组合。本人的国土变地主要在主要由贷款考试使用的传统信用风险和我们的内部方法中造成了很大的差距：1。调查信用风险方法包括：・信用评级方法 /价值期权方法（在贷款和债券上应用期权定价理论）2。整合现金流量估值模型和信用风险3应用资产和衡量LIBOR SpreadWe可以找到Rateng在日本的政府和Corporat和E债券市场中扩大Libor的差异性波动率，并且这种简单的信用评级方法或E贷款考试的信用评分方法导致ROAN POTTFOLIO进入Finstit Utions。

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)。