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

A bond and credit technology, applied in the field of electronic information, can solve the problem of inaccuracy of expected credit losses

Pending Publication Date: 2021-01-05
中债金融估值中心有限公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

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Problems solved by technology

[0005] This application provides a system, method, device, and readable storage medium for obtaining expected credit losses of bonds, with the purpose of solving the problem of low accuracy of the obtained expected credit losses of bonds

Method used

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

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Embodiment Construction

[0052] The method or system for obtaining expected credit losses of bonds disclosed in the embodiment of this application can be applied on a server, specifically, it can be connected to an existing bond information database device, and the purpose is to obtain data from the bond information database device and process the data and analysis to obtain bond expected credit losses.

[0053] The following will clearly and completely describe the technical solutions in the embodiments of the application with reference to the drawings in the embodiments of the application. Apparently, the described embodiments are only some of the embodiments of the application, not all of them. Based on the embodiments in this application, all other embodiments obtained by persons of ordinary skill in the art without making creative efforts belong to the scope of protection of this application.

[0054] figure 1 A bond expected credit loss acquisition system disclosed in the embodiment of this app...

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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...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/02G06Q10/04
CPCG06Q10/04G06Q40/03
Inventor 李乔朱道敏李妍谢澍胡一帆
Owner 中债金融估值中心有限公司
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