中文摘要：

建立了违约暴露集中信用组合损失估计的递归模型,该模型容易编写计算程序实现。利用该模型,从VaR和经济资本的角度讨论了违约暴露集中对组合损失的影响。发现违约率相同时,对于高信用质量组合,违约暴露集中不会增加组合损失的风险,随着违约暴露集中程度的增加,为组合损失准备的经济资本反而减少;而对一般信用质量组合,违约暴露集中会增加组合损失的风险,随着违约暴露集中程度的增加,经济资本也要增加。对一般信用质量组合,违约暴露越分散,分散得越均匀,组合损失风险就越小,需要的经济资本就越少。

英文摘要：

In this paper,a recursive model,which is easily realized by programming,is deduced to estimate the loss of the portfolio with concentrated exposures.As an application of this model,the impact on portfolio loss by the concentration of the asset＇s exposure is studied from the perspective of VaR and economic capital.Under the condition that all assets＇ default probabilities are the same,for the portfolio with high credit quality,the loss risk does not increase and the economic capital for portfolio loss decreases on the contrary when the exposures are more concentrated.But for the portfolio with median credit quality,the loss risk and the economic capital increase when the exposure concentration increases.For this sort of portfolio,if the exposure becomes more dispersed and this dispersion is evener,the loss risk of the portfolio and the economic capital would become smaller.