Bond expected credit loss acquisition system and method, equipment and readable storage medium

Abstract

Disclosed is a bond expected credit loss acquisition system. A default rate compilation model and a default loss rate compilation model are constructed respectively according to the objective law thatthe bonds with larger subject credit interest differences have higher default probabilities and guarantee attributes and secondary attributes jointly influence the default loss rates of the bonds; the information of to-be-queried first bonds is obtained by using an interaction and display module, the default rate PD and the default loss rate LGD of the bond are obtained by using the expected credit loss calculation model, the implicit default rate compilation model and the default loss rate compilation model, and the expected credit loss of the first bond is further obtained and displayed; asthe default rate no longer borrows foreign values, the default loss rate no longer adopts a supervision recommendation value, or the default loss rate of credit assets is borrowed, the obtained expected credit loss has high accuracy.

Description

technical field

[0001] The present application relates to the field of electronic information, and in particular to a system, method, device, and readable storage medium for acquiring bond expected credit losses. Background technique

[0002] The expected credit loss of a bond refers to the weighted average of the credit loss of the bond with the default risk as the weight. The basis for calculating the expected credit loss of a bond includes at least the default loss rate of the bond and the implied default rate of the subject.

[0003] However, in the prior art, the default loss rate either adopts the regulatory recommended value, or borrows the default loss rate of credit assets. The default rate is either obtained based on historical data statistics, or borrowed from foreign values.

[0004] However, the regulatory recommended value is relatively rough, and the degree of discrimination between the impact of guarantee terms and secondary attributes on the LGD is low. Th...

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