RISK DASHBOARD ANNEX - CREDIT RISK PARAMETERS Q4 2016
核心内容概述
本文档汇总了2015年第一季度各国在信用风险方面的关键统计数据，包括违约率（Default rate）、损失率（Loss rate）、调整后的违约概率（PD - adjusted）以及违约损失率（LGD）。数据按企业（Corporates）和零售（Retail）两个主要类别进行分类，并进一步细分为专项贷款（Specialised Lending）、中小企业（SME）、以房地产抵押的零售贷款（Secured on real estate property）、循环零售贷款（Qualifying Revolving）和其他零售贷款（Other Retail）。数据来源为 COREP C 9.02，且仅展示在该国报告的银行数量超过3家的国家。
主要观点
- 数据范围：涵盖了奥地利、比利时、保加利亚、克罗地亚、塞浦路斯、捷克、希腊、匈牙利、爱尔兰、意大利等国家。
- 统计指标：包括25th、50th、75th分位数及加权平均值（W.A）。
- 统计口径：仅展示在该国报告的银行数量超过3家的国家。
- 指标分类：
- 违约率（Default rate）：反映贷款违约的比例。
- 损失率（Loss rate）：反映违约贷款带来的损失比例。
- 调整后的违约概率（PD - adjusted）：考虑风险调整后的违约概率。
- 违约损失率（LGD）：反映违约后损失占贷款总额的比例。
关键信息汇总
奥地利
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
54 |
0.28% |
0.63% |
2.18% |
1.86% |
| Corporates - SME |
25 |
0.21% |
0.58% |
2.47% |
2.55% |
| Retail |
54 |
0.70% |
1.52% |
2.52% |
2.00% |
| Retail - Secured on real estate property |
44 |
0.40% |
0.85% |
1.84% |
1.69% |
| Retail - Qualifying Revolving |
20 |
0.87% |
1.94% |
5.77% |
5.22% |
| Retail - Other Retail |
46 |
1.07% |
1.97% |
3.80% |
2.35% |
比利时
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
58 |
0.21% |
0.66% |
2.56% |
2.56% |
| Corporates - SME |
30 |
0.25% |
1.69% |
3.81% |
3.66% |
| Retail |
58 |
0.76% |
1.73% |
3.01% |
1.65% |
| Retail - Secured on real estate property |
49 |
0.55% |
1.08% |
1.71% |
1.46% |
| Retail - Qualifying Revolving |
23 |
0.82% |
1.90% |
3.72% |
1.48% |
| Retail - Other Retail |
47 |
1.52% |
2.59% |
4.54% |
2.20% |
保加利亚
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
26 |
0.75% |
3.23% |
8.36% |
7.98% |
| Corporates - SME |
12 |
1.03% |
2.66% |
4.21% |
5.20% |
| Retail |
45 |
0.23% |
1.98% |
3.16% |
2.46% |
| Retail - Secured on real estate property |
31 |
0.10% |
0.99% |
2.52% |
3.05% |
| Retail - Qualifying Revolving |
18 |
0.71% |
1.38% |
6.30% |
2.27% |
| Retail - Other Retail |
38 |
1.35% |
2.66% |
6.37% |
10.53% |
克罗地亚
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
32 |
0.64% |
2.17% |
3.15% |
3.56% |
| Corporates - SME |
9 |
1.00% |
1.85% |
2.58% |
3.49% |
| Retail |
38 |
0.54% |
2.75% |
4.01% |
2.09% |
| Retail - Secured on real estate property |
23 |
0.23% |
2.00% |
8.47% |
2.09% |
| Retail - Qualifying Revolving |
16 |
0.67% |
2.34% |
4.77% |
1.73% |
| Retail - Other Retail |
35 |
0.66% |
3.00% |
4.05% |
1.28% |
塞浦路斯
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
53 |
0.80% |
3.12% |
10.35% |
5.19% |
| Corporates - SME |
21 |
0.54% |
1.77% |
9.79% |
4.41% |
| Retail |
45 |
0.49% |
1.00% |
2.68% |
2.25% |
| Retail - Secured on real estate property |
29 |
0.39% |
0.81% |
1.70% |
5.50% |
| Retail - Qualifying Revolving |
16 |
0.29% |
0.76% |
7.88% |
1.70% |
| Retail - Other Retail |
35 |
0.21% |
1.28% |
2.69% |
1.30% |
捷克
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
47 |
0.34% |
1.03% |
2.62% |
2.41% |
| Corporates - SME |
24 |
0.79% |
2.20% |
3.97% |
3.13% |
| Retail |
47 |
0.85% |
2.11% |
4.48% |
3.48% |
| Retail - Secured on real estate property |
37 |
0.42% |
0.97% |
2.06% |
3.08% |
| Retail - Qualifying Revolving |
19 |
0.72% |
2.53% |
5.17% |
4.50% |
| Retail - Other Retail |
41 |
1.74% |
3.25% |
5.34% |
4.29% |
希腊
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
35 |
1.43% |
5.93% |
13.42% |
9.68% |
| Corporates - SME |
14 |
0.26% |
0.80% |
2.26% |
11.85% |
| Retail |
51 |
0.49% |
1.86% |
4.56% |
19.30% |
| Retail - Secured on real estate property |
33 |
0.19% |
0.69% |
2.02% |
10.71% |
| Retail - Qualifying Revolving |
21 |
0.39% |
1.30% |
3.58% |
33.27% |
| Retail - Other Retail |
41 |
1.45% |
2.18% |
5.66% |
24.15% |
匈牙利
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
49 |
0.40% |
1.32% |
2.72% |
2.60% |
| Corporates - SME |
15 |
1.30% |
4.48% |
6.63% |
4.60% |
| Retail |
40 |
0.50% |
1.65% |
3.53% |
6.61% |
| Retail - Secured on real estate property |
32 |
0.27% |
0.87% |
1.34% |
6.05% |
| Retail - Qualifying Revolving |
19 |
0.58% |
1.88% |
5.10% |
5.27% |
| Retail - Other Retail |
38 |
0.81% |
3.05% |
6.63% |
9.47% |
爱尔兰
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
51 |
0.22% |
0.67% |
2.46% |
4.35% |
| Corporates - SME |
27 |
0.31% |
1.49% |
5.59% |
6.73% |
| Retail |
55 |
1.38% |
2.69% |
5.19% |
4.35% |
| Retail - Secured on real estate property |
48 |
0.80% |
2.59% |
4.96% |
4.32% |
| Retail - Qualifying Revolving |
20 |
0.65% |
1.39% |
4.26% |
7.63% |
| Retail - Other Retail |
40 |
1.25% |
2.53% |
5.34% |
4.14% |
意大利
| 类别 |
N |
25th |
50th |
75th |
W.A |
| Corporates |
63 |
0.64% |
1.66% |
5.00% |
11.12% |
| Corporates - SME |
36 |
1.24% |
3.78% |
7.26% |
13.23% |
| Retail |
60 |
0.75% |
2.15% |
3.82% |
4.38% |
| Retail - Secured on real estate property |
48 |
0.53% |
0.85% |
1.98% |
1.80% |
| Retail - Qualifying Revolving |
22 |
1.14% |
2.00% |
7.07% |
7.10% |
| Retail - Other Retail |
48 |
1.25% |
2.53% |
5.34% |
4.38% |
