RISK DASHBOARD ANNEX - CREDIT RISK PARAMETERS (Q1 2018)
核心内容概述
本文档提供了2018年第一季度（Q1 2018）不同国家的信用风险参数统计，包括违约概率（PD）和损失给定（LGD）。数据来源于IRB银行，涵盖了企业（Corporates）和零售（Retail）两个主要类别，并进一步细分为特殊贷款（Specialised Lending）、中小型企业（SME）、抵押房地产（Secured on real estate property）、合格循环（Qualifying Revolving）及其他零售（Other Retail）等子类别。文档还附带了国家层面的统计信息。
主要观点
- 数据来源：数据来源于COREP C 9.02，仅展示有超过3家银行报告的国家。
- 统计指标：包括25th、50th、75th分位数以及加权平均（W.A），用于衡量不同风险类别下的PD和LGD。
- 国家覆盖范围：文档涵盖了欧盟及主要非欧盟国家，包括奥地利、比利时、保加利亚、克罗地亚、塞浦路斯、丹麦、爱沙尼亚等。
关键信息
1. 奥地利 (Austria)
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
25 |
0.17% |
0.48% |
1.79% |
2.79% |
| Retail |
25 |
0.17% |
0.48% |
1.79% |
2.79% |
2. 比利时 (Belgium)
3. 保加利亚 (Bulgaria)
4. 克罗地亚 (Croatia)
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Retail - Other Retail |
18 |
18.86% |
35.81% |
43.10% |
32.94% |
| Retail - Other Retail |
12 |
32.35% |
51.90% |
57.52% |
54.92% |
| Retail - Other Retail |
13 |
33.88% |
48.09% |
55.01% |
49.00% |
| Retail - Secured on real estate property |
13 |
33.78% |
48.05% |
49.00% |
31.78% |
| Retail - Qualifying Revolving |
13 |
33.78% |
48.05% |
49.00% |
31.78% |
| Corporates |
13 |
33.88% |
48.09% |
55.01% |
49.00% |
5. 塞浦路斯 (Cyprus)
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Retail |
23 |
0.28% |
1.27% |
3.27% |
0.90% |
| Retail - Secured on real estate property |
23 |
0.28% |
1.27% |
3.27% |
0.90% |
| Retail - Qualifying Revolving |
23 |
0.28% |
1.27% |
3.27% |
0.90% |
| Retail - Other Retail |
13 |
4.18% |
26.23% |
44.29% |
13.02% |
| Retail - Other Retail |
17 |
17.83% |
18.17% |
47.48% |
18.05% |
| Retail - Other Retail |
18 |
18.86% |
35.81% |
45.11% |
1.15% |
| Retail - Other Retail |
12 |
32.35% |
51.90% |
57.52% |
54.92% |
6. 丹麦 (Denmark)
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
11 |
0.33% |
1.01% |
22.44% |
0.75% |
| Retail |
20 |
0.20% |
0.53% |
2.47% |
0.51% |
| Retail - Secured on real estate property |
7 |
0.31% |
0.58% |
4.52% |
0.47% |
| Retail - Qualifying Revolving |
5 |
0.80% |
1.02% |
1.20% |
1.05% |
| Retail - Other Retail |
13 |
0.67% |
0.81% |
1.60% |
1.23% |
7. 爱沙尼亚 (Estonia)
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
12 |
0.11% |
0.47% |
1.22% |
1.26% |
| Retail |
17 |
0.11% |
0.47% |
1.22% |
1.26% |
| Retail - Secured on real estate property |
7 |
0.21% |
0.45% |
1.18% |
1.12% |
| Retail - Qualifying Revolving |
14 |
0.19% |
0.70% |
1.51% |
1.75% |
| Retail - Other Retail |
14 |
0.49% |
0.39% |
1.43% |
0.75% |
总结
- PD（违约概率）：反映不同风险类别下的违约概率分布，如零售贷款的PD在25th分位数为0.17%，50th为0.48%，75th为1.79%。
- LGD（损失给定）：显示不同风险类别下的损失给定情况，如零售贷款的LGD在25th分位数为18.18%，50th为22.62%，75th为31.28%。
- 国家差异：不同国家的信用风险参数存在明显差异，如克罗地亚和塞浦路斯的零售贷款LGD较高，而丹麦的PD较低。
- 数据完整性：部分国家（如比利时、保加利亚）未提供完整数据，可能因银行数量不足而被排除。
该文档为金融机构提供了关键的信用风险参数信息，可用于风险评估和管理决策。
