A Study on Effects of Portfolio Heterogeneity on the Credit Losses
信贷资产异质性对信贷组合损失的影响研究

In the New Basel Accord,homogeneity assumptions are used for assets within a same credit rating category.In this paper,the impacts of heterogeneity of credit portfolio on credit losses are analyzed for the Vasicek model,also comparisons of impacts of different parameters are made.The results indicate that ignoring the heterogeneity of a credit portfolio can result in misestimating of distribution of credit losses,especially for the tail of the distribution,moreover,the credit losses can be affected more by the heterogeneity of default rates and their volatility than the sector correlations.The Gaussian assumption that is widely used in the analysis of diversification effects of credit portfolio can dramatically underestimate the credit losses