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Date of Publication:2014-01-01

Journal:系统工程理论与实践

Affiliation of Author(s):经济管理学院

Issue:3

Page Number:656-662

ISSN No.:1000-6788

Abstract:Based on the new risk measure requirements of the Basel III and the realities of the diffculties in small-medium enterprises' financing as well as the increasing default risk, the extreme risk measure of loan commitments will be one of the key fields in future asset management of the banks. Based on the option theory, firstly, this paper provides a loan commitment pricing formula under the oating-rate. Secondly, by introducing the DGN (Delta-Gamma-Normal) model, the distribution patterns of changes in value of loan commitments are characterized. Then, by modifying tail volatility with the theory of expected shortage, an ES-TV measure model is constructed to scale the extreme risk of loan commitments. This model depicts both the scale and volatility of the extreme loss, and hence it can reect extreme risk more completely. Finally this paper makes an empirical analysis on the loan commitment portfolio management of X bank.

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