creator Ji, Junjie 巴塞尔法规下衡量信贷组合集中风险的单因素和多因素风险模型 2022 Spring 2022 Dissertation Illinois Institute of Technology SSB / Stuart School of Business advisor Cooper, Ricky Management ASFR Basel Concentration Risk Multi-factor Credit Risk model Regulatory Capital VAR en My research discussed the essential part of Basel regulations, which is calculating the regulatory capital of bank portfolios using the asymptotic single risk factor model (ASRF) under the internal rating-based approach (IRB). I’m trying to analyze whether the regulatory model is strong enough to measure the credit risk of banks portfolios accurately. Is the model capable of reflecting and controlling the concentration risk involved in bank portfolios? By relaxing the single factor assumption, there are models and methods to calculate unexpected loss (defined as VaR) and required capital. In my research, I propose and validate the models in different scenarios and evaluate whether they can effectively catch the tail risk of bank portfolios without overcharging required capital. My research proved that ASRF lacks the sensitivity to capture sector concentration risk. There are advantages, as well as shortcomings of each multifactor model. I propose that banks include the appropriate multifactor model in the risk management process based on their portfolios' characteristics. The result and related discussion will also contribute to addressing the conflict of banks' profitability and risk control under the Basel regulatory framework.我的研究讨论了巴塞尔法规的基本部分，即在基于内部评级的方法 (IRB) 下使用渐近单风险因素模型 (ASRF) 计算银行投资组合的监管资本。我试图分析监管模型是否能足够准确衡量银行投资组合的信用风险。该模型是否能够反映和控制银行投资组合的集中度风险？通过放宽单因素假设，有模型和方法可以计算意外损失（定义为 VaR）和所需资本。在我的研究中，我提出并验证了不同场景下的模型，并评估它们是否能够有效地捕捉银行投资组合的尾部风险，而不会过度收取所需的资本。我的研究证明，ASRF 缺乏敏感性捕捉行业集中风险。每个多因素模型都有利有弊，我建议银行根据其投资组合的特征在风险管理过程中包括适当的多因素模型。结果和相关讨论也将有助于解决在巴塞尔监管框架下银行盈利能力和风险控制的冲突。 born digital application/pdf In Copyright http://rightsstatements.org/page/InC/1.0/ Restricted Access http://hdl.handle.net/10560/islandora:1024867