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24 Philippe Jorion Financial Risk Management Handbook Second Edition 2003 25 Paul J Atzberger Portfolio Theory

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26 Philippe Jorion Financial Risk Management Handbook Second Edition 2003

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1.2.3 Credit Portfolio View (CPV) 33

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33 Philippe Jorion Financial Risk Management Handbook Second Edition 2003

32

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Dependent Variable: Y Method: Least Squares Date: 04/28/13 Time: 12:57 Sample(adjusted): 2001:4 2012:3 Included observations: 44 after adjusting endpoints

Variable Coefficient Std. Error t-Statistic Prob.

C 2049258. 7226959. 0.283557 0.7782 Y(-1) 0.979094 0.116014 8.439415 0.0000 X(-7) -0.171176 0.073398 -2.332167 0.0248 X(-6) 0.166004 0.061614 2.694243 0.0103

R-squared 0.962084 Mean dependent var 1.51E+08 Adjusted R-squared 0.959240 S.D. dependent var 1.53E+08 S.E. of regression 30949348 Akaike info criterion 37.42011 Sum squared resid 3.83E+16 Schwarz criterion 37.58231 Log likelihood -819.2424 F-statistic 338.3192 Durbin-Watson stat 1.768458 Prob(F-statistic) 0.000000

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2.

Dependent Variable: Y1 Method: Least Squares Date: 04/28/13 Time: 13:26 Sample(adjusted): 2001:4 2012:3 Included observations: 44 after adjusting endpoints


C 268062.6 967081.3 0.277187 0.7830 Y1(-1) 0.843765 0.076468 11.03418 0.0000 X1(-7) 0.024060 0.015317 1.570850 0.1239

R-squared 0.890863 Mean dependent var 11412452 Adjusted R-squared 0.885539 S.D. dependent var 12760926 S.E. of regression 4317288. Akaike info criterion 33.45990 Sum squared resid 7.64E+14 Schwarz criterion 33.58155 Log likelihood -733.1178 F-statistic 167.3369 Durbin-Watson stat 1.481384 Prob(F-statistic) 0.000000

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C -1605089. 2202500. -0.728758 0.4709 Y2(-1) 0.737549 0.118763 6.210260 0.0000

X2(-11) -0.089956 0.049905 -1.802546 0.0798 X2(-6) 0.142862 0.033255 4.295987 0.0001


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C -280837.5 1573019. -0.178534 0.8593 Y3(-1) 0.788543 0.069160 11.40179 0.0000

X3(-10) -0.168520 0.028266 -5.961984 0.0000 X3(-6) 0.171038 0.029037 5.890329 0.0000

R-squared 0.955777 Mean dependent var 33232388 Adjusted R-squared 0.952192 S.D. dependent var 26546977

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S.E. of regression 5804520. Akaike info criterion 34.07864 Sum squared resid 1.25E+15 Schwarz criterion 34.24582 Log likelihood -694.6121 F-statistic 266.5588 Durbin-Watson stat 2.167730 Prob(F-statistic) 0.000000

1

, 21

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C -340752.1 2124640. -0.160381 0.8734 Y4(-1) 0.835181 0.116183 7.188520 0.0000 X4(-6) -0.119717 0.056050 -2.135885 0.0387 X4(-5) 0.141814 0.046067 3.078418 0.0037


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C 2243162. 1561117. 1.436896 0.1599 Y5(-1) 0.672850 0.065899 10.21040 0.0000 X5(-1) -0.029454 0.006823 -4.316766 0.0001 X5(-5) 0.060038 0.011264 5.330221 0.0000


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Dependent Variable: Y6 Method: Least Squares Date: 04/28/13 Time: 13:32 Sample(adjusted): 2001:4 2012:3 Included observations: 42 Excluded observations: 2 after adjusting endpoints


C -579446.0 596867.2 -0.970812 0.3379 Y6(-1) 0.732981 0.090897 8.063861 0.0000 X6(-1) -0.084557 0.034573 -2.445740 0.0193 X6(-2) 0.098809 0.038591 2.560415 0.0147 X6(-7) 0.061474 0.029783 2.064027 0.0461

R-squared 0.882505 Mean dependent var 5536848. Adjusted R-squared 0.869803 S.D. dependent var 6700659. S.E. of regression 2417790. Akaike info criterion 32.34595 Sum squared resid 2.16E+14 Schwarz criterion 32.55281 Log likelihood -674.2649 F-statistic 69.47667 Durbin-Watson stat 2.286787 Prob(F-statistic) 0.000000

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C -682572.3 697882.6 -0.978062 0.3387 Y7(-11) -0.403150 0.155133 -2.598745 0.0164 X7(-4) 0.218880 0.043652 5.014204 0.0001 X7(-5) -0.151554 0.047879 -3.165329 0.0045 X7(-8) 0.078234 0.039253 1.993070 0.0588

R-squared 0.628773 Mean dependent var 2135047. Adjusted R-squared 0.561277 S.D. dependent var 2454536. S.E. of regression 1625791. Akaike info criterion 31.60646 Sum squared resid 5.82E+13 Schwarz criterion 31.84643 Log likelihood -421.6873 F-statistic 9.315716 Durbin-Watson stat 1.472347 Prob(F-statistic) 0.000146

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09:0

1:00

2009

:03:

0020

10:0

1:00

2010

:03:

0020

11:0

1:00

2011

:03:

0020

12:0

1:00

2012

:03:

00

44



C 1261538. 622156.8 2.027684 0.0549 Y8(-1) 1.094379 0.076378 14.32843 0.0000

X8(-10) -0.071985 0.031475 -2.287028 0.0322 X8(-12) 0.061011 0.031368 1.945020 0.0647

R-squared 0.955812 Mean dependent var 11651059 Adjusted R-squared 0.949787 S.D. dependent var 8871754. S.E. of regression 1988010. Akaike info criterion 31.98380 Sum squared resid 8.69E+13 Schwarz criterion 32.17736 Log likelihood -411.7895 F-statistic 158.6257 Durbin-Watson stat 1.824704 Prob(F-statistic) 0.000000

1

, 10

, 12 45.

45 .

01000000020000000300000004000000050000000600000007000000080000000900000001E+09

0

5000000

10000000

15000000

20000000

25000000

2000

:01:

0020

00:0

3:00

2001

:01:

0020

01:0

3:00

2002

:01:

0020

02:0

3:00

2003

:01:

0020

03:0

3:00

2004

:01:

0020

04:0

3:00

2005

:01:

0020

05:0

3:00

2006

:01:

0020

06:0

3:00

2007

:01:

0020

07:0

3:00

2008

:01:

0020

08:0

3:00

2009

:01:

0020

09:0

3:00

2010

:01:

0020

10:0

3:00

2011

:01:

0020

11:0

3:00

2012

:01:

0020

12:0

3:00

45



C 430245.5 196944.2 2.184606 0.0339 Y9(-1) 1.185120 0.121556 9.749576 0.0000 X9(-1) -0.050335 0.022845 -2.203297 0.0325

R-squared 0.858207 Mean dependent var 2085160. Adjusted R-squared 0.852174 S.D. dependent var 2527141. S.E. of regression 971640.0 Akaike info criterion 30.46948 Sum squared resid 4.44E+13 Schwarz criterion 30.58420 Log likelihood -758.7371 F-statistic 142.2350 Durbin-Watson stat 2.298294 Prob(F-statistic) 0.000000

1

,

.

0

10000000

20000000

30000000

40000000

50000000

60000000

0

1000000

2000000

3000000

4000000

5000000

6000000

7000000

8000000

9000000

2000

:01:

0020

00:0

3:00

2001

:01:

0020

01:0

3:00

2002

:01:

0020

02:0

3:00

2003

:01:

0020

03:0

3:00

2004

:01:

0020

04:0

3:00

2005

:01:

0020

05:0

3:00

2006

:01:

0020

06:0

3:00

2007

:01:

0020

07:0

3:00

2008

:01:

0020

08:0

3:00

2009

:01:

0020

09:0

3:00

2010

:01:

0020

10:0

3:00

2011

:01:

0020

11:0

3:00

2012

:01:

0020

12:0

3:00

46



Y10(-1) 0.874342 0.074373 11.75617 0.0000 X10(-4) 0.005088 0.002969 1.713729 0.0935


1

, 1

.

0200000004000000060000000800000001E+091.2E+091.4E+091.6E+091.8E+092E+09

05000000

100000001500000020000000250000003000000035000000400000004500000050000000

2000

:01:

0020

00:0

3:00

2001

:01:

0020

01:0

3:00

2002

:01:

0020

02:0

3:00

2003

:01:

0020

03:0

3:00

2004

:01:

0020

04:0

3:00

2005

:01:

0020

05:0

3:00

2006

:01:

0020

06:0

3:00

2007

:01:

0020

07:0

3:00

2008

:01:

0020

08:0

3:00

2009

:01:

0020

09:0

3:00

2010

:01:

0020

10:0

3:00

2011

:01:

0020

11:0

3:00

2012

:01:

0020

12:0

3:00

47

2.2.

2.2.1

2008

,

. 2010

.

1- .

//

:

/ /

:

-

1,000,000.00

2,000,000.00

3,000,000.00

4,000,000.00

5,000,000.00

6,000,000.00

7,000,000.00

8,000,000.00

2000

.I20

00.IV

2001

.III

2002

.II20

03.I

2003

.IV20

04.II

I20

05.II

2006

.I20

06.IV

2007

.III

2008

.II20

09.I

2009

.IV20

10.II

I20

11.II

2012

.I20

12.IV

-1,000,000.00 -

1,000,000.00 2,000,000.00 3,000,000.00 4,000,000.00 5,000,000.00 6,000,000.00 7,000,000.00 8,000,000.00

2000

.I

2000

.III

2001

.I

2001

.III

2002

.I20

02.II

I

2003

.I20

03.II

I

2004

.I20

04.II

I20

05.I

2005

.III

2006

.I20

06.II

I

2007

.I20

07.II

I

2008

.I20

08.II

I20

09.I

2009

.III

2010

.I

2010

.III

2011

.I20

11.II

I

2012

.I20

12.II

I

48

2000-2006

, 2006-2008

. 2008-2011

, 2011

, 46.

2000.1 2012.4-

.

Dependent Variable: LOAN

Method: Least Squares

Date: 05/25/13 Time: 07:21

Sample(adjusted): 2001:4 2012:4

Included observations: 45 after adjusting endpoints


C -1124574. 316102.3 -3.557626 0.0010

LOAN(-1) 0.871009 0.042632 20.43100 0.0000

GDP 0.260850 0.058716 4.442602 0.0001

GDP(-3) 0.176442 0.062469 2.824495 0.0076

IR(-5) 12507.65 3932.236 3.180798 0.0030

TB(-2) 0.481058 0.098867 4.865719 0.0000

CPI(-7) -8475.170 2564.162 -3.305239 0.0021

USD(-4) 598.8462 229.5524 2.608756 0.0130

R-squared 0.998043 Mean dependent var 2134913.

Adjusted R-squared 0.997672 S.D. dependent var 1926970.

S.E. of regression 92969.23 Akaike info criterion 25.87774

Sum squared resid 3.20E+11 Schwarz criterion 26.19892

Log likelihood -574.2491 F-statistic 2695.101

Durbin-Watson stat 2.436524 Prob(F-statistic) 0.000000

GDP //, IR / / 3 , TB

/ / 2 , CPI / / 7

, USD / / 4

.

46

49

2013 4-

ARMA, ARIMA .

Dependent Variable: LOAN Method: Least Squares Date: 04/26/13 Time: 00:03

Sample(adjusted): 2000:3 2012:4 Included observations: 50 after adjusting endpoints Convergence achieved after 21 iterations

Backcast: 2000:2


C 221240.0 73611.48 3.005510 0.0044 @TREND -32314.57 7354.500 -4.393850 0.0001

@TREND^2 2749.517 151.1987 18.18480 0.0000 AR(1) 1.972540 0.046178 42.71591 0.0000 AR(2) -1.114178 0.054223 -20.54803 0.0000 MA(1) -0.989949 0.000724 -1367.881 0.0000

R-squared 0.997803 Mean dependent var 1929171. Adjusted R-squared 0.997553 S.D. dependent var 1929529. S.E. of regression 95451.42 Akaike info criterion 25.88279 Sum squared resid 4.01E+11 Schwarz criterion 26.11223 Log likelihood -641.0697 F-statistic 3995.843 Durbin-Watson stat 2.118743 Prob(F-statistic) 0.000000

Inverted AR Roots .99 -.38i .99+.38i Estimated AR process is nonstationary

Inverted MA Roots .99

2013 1 4-

. 47:

2010.I 2,734,817.00 2,638,937.11 2010.II 2,849,058.49 2,844,967.36 2010.III 3,050,299.85 3,165,588.83 2010.IV 3,228,171.13 3,355,163.90 2011.I 3,696,259.74 3,624,346.57 2011.II 4,517,280.91 4,382,932.74 2011.III 5,018,952.98 5,104,663.74 2011.IV 5,597,743.59 5,381,884.20 2012.I 5,741,473.52 5,967,360.40 2012.II 6,266,014.61 6,242,408.79 2012.III 6,819,411.08 6,679,776.49 2012.IV 6,941,135.22 7,025,533.38 2013.I

7,139,387.40

2013.II 7,199,364.92

2013.III 7,386,355.39

2013.IV 7,472,678.27

47

50

2.2.2 CPV

. 2000-2012

.

/ /

:

CPV

,

.

48:

Dependent Variable: NPL Method: Least Squares Date: 05/26/13 Time: 07:26 Sample(adjusted): 2001:4 2012:4 Included observations: 45 after adjusting endpoints


C -0.199030 0.035240 -5.647773 0.0000 NPL(-1) 0.233698 0.108355 2.156789 0.0376

USD 0.000139 2.46E-05 5.663969 0.0000 CPI -0.000785 0.000294 -2.666923 0.0113

UNEM(-4) -0.004297 0.001920 -2.237944 0.0313 UNEM(-7) 0.006929 0.001930 3.590818 0.0010 CDR(-1) -1.75E-08 4.29E-09 -4.079155 0.0002 CNY(-3) 0.000605 0.000181 3.333230 0.0020

R-squared 0.940827 Mean dependent var 0.069391 Adjusted R-squared 0.929632 S.D. dependent var 0.033934 S.E. of regression 0.009002 Akaike info criterion -6.423005 Sum squared resid 0.002998 Schwarz criterion -6.101820 Log likelihood 152.5176 F-statistic 84.04116 Durbin-Watson stat 2.061244 Prob(F-statistic) 0.000000

48 48 .

-1,000,000.00 2,000,000.00 3,000,000.00 4,000,000.00 5,000,000.00 6,000,000.00 7,000,000.00 8,000,000.00

2000

.I20

00.II

I20

01.I

2001

.III

2002

.I20

02.II

I20

03.I

2003

.III

2004

.I20

04.II

I20

05.I

2005

.III

2006

.I20

06.II

I20

07.I

2007

.III

2008

.I20

08.II

I20

09.I

2009

.III

2010

.I20

10.II

I20

11.I

2011

.III

2012

.I20

12.II

I

51

NPL USD / /,

CPI / /, UNEM // CDR / /

CNY / / .

.

AGR CNS EDU MAN MIN WHS MRG ICOM OTH

USD (-3) 0.0002 (0.0008) Prob 0.0000 0.0001

USD (-2) 0.0003 0.0008 Prob 0.0001 0.0001

USD 0.0002 0.0001 0.0001 Prob 0.0001 0.0000 0.0000

CNY (-3) 0.0017 0.0008 Prob 0.0004 0.0002

CNY (-2) 0.0008 0.0005 Prob 0.0003 0.0002

CNY (0.002) 0.0009 0.0014 Prob 0.0004 0.0002 0.0004

EX (-4) 0.0000 Prob 0.0000

EX (-2) 0.0003 Prob 0.0000

CPI (-7) (0.003) Prob 0.0008

CPI (-6) (0.010) (0.019) Prob 0.0005 0.0007

CPI (-5) 0.0008

Prob 0.0003

CPI (-4) Prob

CPI (-3) 0.0007 Prob 0.0002

CPI (-2) 0.0033 Prob 0.0009

CDR (-3) 0.0000 Prob 0.0000

CDR (0.000) (0.000) (0.000) Prob 0.0000 0.0000 0.0000

M2 (-2) (0.000) 0.0000 (0.000)

Prob 0.0000 0.0000 0.0000

M2 (-1) Prob

UNEM (-3) 0.0113 Prob 0.0029

UNEM (-2) 0.0034

Prob 0.0012

UNEM 0.0283 0.0175

52

Prob 0.0035 0.0049

IP (-3) (0.000) Prob 0.0000

IP (-2) 0.0000 Prob 0.0000

TB (-4) (0.0000) Prob 0.0000

TB (-3) (0.000) Prob 0.0000

TB 0.0000 Prob 0.0000

GDP (-3) 0.0000 Prob 0.0000

GDP (0.000) Prob 0.0000

IR (-4) 0.0077 Prob 0.0029

IR (-3) (0.005) Prob 0.0028

IR (-1) 0.0024 Prob 0.0008

IR (0.025) Prob (0.006)

FT (-2) (0.0002) Prob 0.0000

FT Prob

SHR (-8) 0.0000 Prob

C 0.5351 (0.515) (0.081) (0.194) (0.095) (0.232) (0.627) 0.0211 0.0079

Prob 0.2288 0.0962 0.0454 0.0415 0.0296 0.0293 0.0974 0.0893 0.0051

0.9621 0.9169 0.8743 0.8512 0.8273 0.9556 0.9512 0.9462 0.7155

.

.

.

.

5

49.

.

. 49

53

2013 I II III IV

1 CNY 233.72 237.88 242.12 246.44 2 CPI 16.37 18.49 21.05 24.07 3 CDR 3,616,236.65 3,702,497.78 3,788,758.90 3,875,020.03 4 EX 2,559.95 3,355.01 2,972.10 3,320.23 5 M2 7,564,576.93 7,976,836.40 8,303,281.00 8,635,904.18 6 UNEM 10.80 11.09 11.39 11.70 7 USD 1,381.01 1,387.31 1,393.62 1,399.93 8 IR 15.51 15.09 15.19 15.04 9 IP 903,842.73 1,049,738.89 1,072,454.10 1,095,169.32 10 GDP 3,237,455.77 3,786,661.39 3,922,370.84 4,060,616.91 11 TB (911,170.73) (770,948.50) (480,233.11) (301,715.21) 12 FT 3,803.39 7,166.06 10,121.94 13,638.95 13 CBI 9.72 11.51 11.51 11.51 14 SHR 8,111.82 8,317.29 8,522.76 11,356.05

NPL

CPV

. CPV= =

CPV

0,42-0,49 .

CPV-

0,5 100% CPV- 0,26 . 2008 2009 1-

, 2009 1- 2011 1-

, 2011 1- 2012 4-

.

50.

2.2.3 PV

.

3 4-

50 CVP- .

/ NPL CPV 1 0% 0.5

2 3% 0.4925 3 10% 0.4751

4 30% 0.4258

5 50% 0.3779

54

. CPV- CPV-

. 5-

.

51.

CNS / /

/./

NPL CPV

CPV/

CPV

1 I 294,144.29 0.0116 0.4971 0.1259 0.1018 0.0626

2 II 349,029.07 0.0177 0.4956 0.1364 0.1015 0.0676

3 III 400,857.94 0.0256 0.4936 0.1477 0.1014 0.0729

4 2008 IV 383,234.86 0.0732 0.4818 0.1454 0.1006 0.0701

5 I 419,638.74 0.1402 0.4651 0.1571 0.0987 0.0731

6 II 419,638.74 0.154 0.4617 0.1571 0.0985 0.0725

7 III 392,387.87 0.2012 0.45 0.1492 0.0996 0.0671

8 2009 IV 382,979.24 0.2771 0.4314 0.1442 0.0946 0.0622

9 I 452,981.89 0.217 0.4461 0.1656 0.0967 0.0739

10 II 440,097.95 0.2183 0.4458 0.1545 0.0965 0.0689

11 III 348,856.87 0.2218 0.445 0.1144 0.0956 0.0509

12 2010 IV 349,355.10 0.1832 0.4545 0.1082 0.0974 0.0492

13 I 382,606.52 0.1517 0.4623 0.1035 0.0988 0.0479

14 II 499,258.43 0.1023 0.4745 0.1105 0.1006 0.0524

15 III 633,568.59 0.0784 0.4805 0.1262 0.1008 0.0607

16 2011 IV 661,304.69 0.0528 0.4868 0.1181 0.1019 0.0575

17 I 669,658.58 0.0771 0.4808 0.1166 0.1004 0.0561

18 II 738,440.70 0.0385 0.4904 0.1178 0.1013 0.0578

19 III 831,588.28 0.0707 0.4824 0.1219 0.1004 0.0588

20 2012 IV 899,892.99 0.2278 0.4435 0.1296 0.0943 0.0575

21 I 917,975.67 0.3127 0.4227 0.1286 0.0912 0.0543

22 II 923,254.34 0.3626 0.4106 0.1282 0.088 0.0527

23 III 941,145.65 0.2431 0.4397 0.1274 0.0957 0.056

24 2013 IV 949,464.03 0.2376 0.441 0.1271 0.0964 0.056

51

55

I II III 2013 IV I II III 2013 IV

ARG

206,917.22 213,121.16 232,755.79 241,857.18 216,829.83 226,032.65 255,016.80 268,434.33

CPV/ECPV 0.1041 0.1034 0.1050 0.1054 0.1541 0.1534 0.1550 0.1554

CNS 917,975.67 923,254.34 941,145.65 949,464.03 899,892.99 899,892.99 899,892.99 899,892.99

CPV/ECPV 0.0912 0.0880 0.0957 0.0964 - - - -

EDU 52,793.29 58,235.77 75,337.24 83,265.41 34,427.25 34,427.25 34,427.25 34,427.25

CPV/ECPV 0.0926 0.0907 0.0915 0.0918 - - - -

ICOM 58,568.81 64,360.30 79,356.47 86,348.44 41,402.70 41,402.70 41,402.70 41,402.70

CPV/ECPV 0.0866 0.0966 0.0802 0.0810 - - - -

MAN 818,372.08 824,614.53 844,361.66 853,501.71 828,284.69 837,526.02 866,622.67 880,078.86

CPV/ECPV 0.1048 0.1041 0.1056 0.1059 0.1548 0.1541 0.1556 0.1559

MIN 818,139.28 824,106.34 842,608.68 851,178.12 818,139.28 824,106.34 842,608.68 851,178.12

CPV/ECPV 0.0993 0.0995 0.0989 0.0993 0.0993 0.0995 0.0989 0.0993

MRG 991,641.37 998,005.57 1,018,145.91 1,027,485.95 1,011,466.59 1,023,828.54 1,062,667.93 1,080,640.25

CPV/ECPV 0.1068 0.1061 0.1077 0.1082 0.2068 0.2061 0.2077 0.2082

TRS 235,667.23 241,808.70 261,130.93 269,726.10 235,667.23 241,808.70 261,130.93 269,726.10

CPV/ECPV 0.1039 0.1024 0.1033 0.0996 0.1039 0.1024 0.1033 0.0996

WHS 1,162,318.81 1,168,467.12 1,187,884.93 1,196,837.57 1,166,363.16 1,174,028.90 1,196,681.64 1,207,291.68

CPV/ECPV 0.1034 0.1025 0.1038 0.1037 0.1238 0.1278 0.1211 0.1229

OTH 1,876,993.64 1,883,391.08 1,903,628.14 1,913,013.75 1,886,906.25 1,896,302.57 1,925,889.15 1,939,590.90

CPV/ECPV 0.1073 0.1067 0.1082 0.1087 0.1573 0.1567 0.1582 0.1587

.

.

2008-2012 . :

(, )

2008 2009 2010 2011 2012

, , , 34.4 22.6 34.4 22.6 34.4 22.6 19.2 12.3 29.8 24.8 36 22.2 22.2 22.2 21.9 18.3 21.6 14.4 22.6 15.4 30 23.1 30 23.1 27.6 23.1 23.4 19.6 29.6 18 26.5 18.8 26.5 18.8 20.2 15.53 19.2 12 22.5 14.4 36.2 20.5 36.2 20.5 27.8 13.2 23.4 13.2 28 14.5 29.6 25 29.6 25 25 13.2 21.2 12 26 15 26.4 18 26.4 18 21.6 12 19.6 15.6 20.5 14.6 32.6 22.1 32.64 22.08 29.6 18.6 21.2 15.6 28.6 15.8

.

.

2008 2009 2010 2011 2012 , , , S1 4.8% 6.2% 5.0% 3.3% 2.7% S2 6.4% 9.6% 12.8% 12.0% 12.3% S3 14.2% 15.8% 15.3% 11.5% 11.1% S4 13.9% 15.2% 13.4% 11.6% 12.2% S5 24.9% 20.4% 18.3% 17.5% 16.6% S6 2.2% 2.3% 2.7% 3.2% 3.1% S7 4.3% 6.7% 10.6% 13.4% 13.9% S8 27.5% 22.1% 20.0% 25.6% 26.6%

- , , ,

Dependent Variable: S1 Method: Least Squares Date: 05/27/13 Time: 11:14 Sample: 2008 2012 Included observations: 5


C 1.081571 3.268481 0.330909 0.7625 R1 -0.129021 0.124761 -1.034151 0.3771

R-squared 0.262803 Mean dependent var 4.400000 Adjusted R-squared 0.017071 S.D. dependent var 1.401785 S.E. of regression 1.389768 Akaike info criterion 3.785326 Sum squared resid 5.794368 Schwarz criterion 3.629101 Log likelihood -7.463314 F-statistic 1.069469 Durbin-Watson stat 1.336775 Prob(F-statistic) 0.377121

S1 = 1.081571143 - 0.1290213397*R1

, , ,

1

0.13 .

-



C 23.00400 2.358523 9.753561 0.0023 R2 -0.571218 0.107014 -5.337769 0.0129


S2 = 23.00399756 - 0.5712175994*R252

1

0.57 .

52 .

-



C -6.912986 8.081452 -0.855414 0.4552 R3 -0.826997 0.325138 -2.543527 0.0844


S3 = -6.912985903 - 0.8269970098*R3

1

0.83 .

-



C 5.534111 2.498979 2.214549 0.1136 R4 -0.396606 0.126978 -3.123430 0.0523


S4 = 5.534111292 - 0.3966061965*R453

1

0.39 .

53 ,

-



C 6.044412 5.486948 1.101598 0.3511 R5 -0.577228 0.230962 -2.499230 0.0878


S5 = 6.044411672 - 0.5772279011*R5

1

0.58 .

-



C 4.565312 0.499624 9.137500 0.0028 R6 -0.084175 0.022119 -3.805624 0.0319

R-squared 0.828403 Mean dependent var 2.700000 Adjusted R-squared 0.771203 S.D. dependent var 0.452769 S.E. of regression 0.216572 Akaike info criterion 0.067384 Sum squared resid 0.140710 Schwarz criterion -0.088841 Log likelihood 1.831540 F-statistic 14.48278 Durbin-Watson stat 1.635950 Prob(F-statistic) 0.031883

S6 = 4.565312083 - 0.08417473298*R6

1

0.08 54.

54

-



C 36.53461 8.011790 4.560106 0.0198 R7 -1.387687 0.412361 -3.365221 0.0436


S7 = 36.53460899 - 1.387687188*R7

1

1.38 .

- Dependent Variable: S8 Method: Least Squares Date: 05/27/13 Time: 11:19 Sample: 2008 2012 Included observations: 5


C 27.84887 11.50479 2.420634 0.0941 R8 -0.145978 0.476583 -0.306301 0.7794

R-squared 0.030325 Mean dependent var 24.36000 Adjusted R-squared -0.292900 S.D. dependent var 3.183237 S.E. of regression 3.619524 Akaike info criterion 5.699737 Sum squared resid 39.30287 Schwarz criterion 5.543512 Log likelihood -12.24934 F-statistic 0.093820 Durbin-Watson stat 1.551428 Prob(F-statistic) 0.779403

S8 = 27.84886963 - 0.1459778086*R8

1

0.14 55.

55 10

. 56:

-

-

100

, , , 2.7% 28.3% 2.6% 2.7% 795358.28 12.3% 20.0% 11.7% 12.4% 3628417 11.1% 24.8% 10.3% 10.9% 3178057.1 12.2% 19.5% 11.8% 12.5% 3651499 16.6% 22.3% 16.0% 17.0% 4956806.1 3.1% 21.5% 3.0% 3.2% 932975.88 13.9% 18.6% 12.5% 13.3% 3870810.2 26.6% 23.2% 26.5% 28.0% 8183818.5

12.3% 22.3% 94.4% 100.0% 29197742

-

-

100

, , , 2.7% 26.3% 2.8% 2.8% 804929.87 12.3% 18.0% 12.9% 12.5% 3662195.4 11.1% 22.8% 11.9% 11.6% 3393540.1 12.2% 17.5% 12.6% 12.3% 3584061.2 16.6% 20.3% 17.2% 16.7% 4887367 3.1% 19.5% 3.2% 3.1% 905980.39 13.9% 16.6% 15.3% 14.9% 4349743.6 26.6% 21.2% 26.7% 26.1% 7609924.6

12.3% 162.1% 102.6% 100.0% 29197742

56

2008

,

. 2010 .

:

LOAN = -1124573.71 + 0.871*LOAN(-1) + 0.2608*GDP + 0.1764*GDP(-3) +

12507.6506*IR(-5) + 0.481*TB(-2) - 8475.1695*CPI(-7) + 598.8461*USD(-4)

:

NPL = -0.199 + 0.2336*NPL(-1) + 0.0001*USD - 0.0007*CPI - 0.0042*UNEM(-7)

+ 0.0069*UNEM(-4) - 1.751940235e-08*CDR(-1) + 0.0006*CNY(-3)

9

.

ARMA, ARIMA

.

CPV

(0.26;0.5) 0.5- ,

0.26- .

, ,

. ,

.

,

,

. .

1. . ,

2006

2. . 2008

3. . 2007

4. . " "

5. . 2006

6. ., . " "

7. .- " " 2005

8. ,

. .

9. . 2006

10. . , 2007

11. Paul J Atzberger Portfolio Theory

http://riskencyclopedia.com/articles/portfolio_theory/

12. Peter Rose Commercial bank management

http://www.jpmorgan.com/pages/jpmorgan/cb

13. Philippe Jorion Financial Risk Management Handbook Second Edition 2003

14. http://www.amazon.com/Financial-Manager-Handbook-Second-

Edition/dp/047143003

15. X ,

16.

2010 9-

17. , .,

,

18. Chirinko R. and G D Guil (1991), A Framework for assessing credit risk in

depository institutions: toward regulatory reform Journal of Banking and

Finance, vol 15, pp 785-804

19. Drehmann Mathias (2005), A Market Based Macro Stress Test for the

Corporote Credit Exposures of UK banks Bank of England

http://www.bis.org/bcbs/events/rtf05Drehmann.pdf

20. WWW.MongolBank.Mn, www.1212.mn

NPL EX IM M2 CDR USD CNY IR

03 0.3096 71.7 96.7 222,434.0 86,994.9 1,090.00 131.66 36.5

06 0.2692 209.7 262.1 255,258.1 94,375.8 1,065.00 128.67 38.9

09 0.2588 329.8 415.6 264,490.2 95,204.7 1,085.62 131.13 42.7

2000 12 0.2286 466.1 614.5 258,842.6 84,831.1 1,097.00 132.52 34.7

03 0.1809 68.1 103.1 270,540.8 107,671.8 1,097.00 132.53 38.0

06 0.1152 156.4 237.7 313,946.1 107,107.5 1,097.00 132.54 34.5

09 0.1053 279.4 406.0 317,428.5 116,362.0 1,099.00 132.80 37.4

2001 12 0.0711 521.5 637.7 331,064.3 129,259.5 1,102.00 133.10 41.4

03 0.0699 70.6 114.9 345,871.9 150,435.6 1,104.00 133.40 39.3

06 0.0556 161.2 302.1 401,163.6 195,587.4 1,105.00 133.50 33.4

09 0.0582 270.6 488.1 437,671.0 177,337.3 1,117.00 134.90 35.0

2002 12 0.0502 524.0 690.7 470,298.7 200,027.4 1,125.00 135.90 30.7

03 0.0664 129.2 166.9 504,293.4 245,360.2 1,140.00 137.70 29.8

06 0.0603 219.3 360.9 557,744.4 284,502.7 1,139.00 137.60 29.3

09 0.0610 401.4 593.8 609,367.4 272,149.6 1,159.00 140.00 28.9

2003 12 0.0469 615.9 801.0 703,332.4 514,615.2 1,168.00 141.10 30.2

03 0.0704 131.4 184.9 740,190.6 550,248.3 1,177.00 142.20 29.2

06 0.0563 307.2 479.9 812,171.5 587,827.4 1,174.00 141.80 27.6

09 0.0595 559.3 752.6 827,250.0 614,054.2 1,202.00 145.20 26.1

2004 12 0.0645 869.7 1,021.1 847,032.4 647,305.1 1,209.00 146.10 25.0

03 0.0630 168.4 211.5 892,973.8 656,792.2 1,192.00 144.00 24.3

06 0.0615 396.6 500.1 1,009,588.5 722,028.0 1,193.00 144.10 24.1

09 0.0619 668.2 812.9 1,112,374.9 737,705.6 1,215.00 150.10 24.2

2005 12 0.0576 1,064.9 1,184.4 1140138.8* 769,004.62 1,221.00 151.30 23.5

03 0.0581 229.8 233.0 1,191,241.3 837,634.7 1,174.00 146.30 23.2

06 0.0574 611.6 617.2 1,449,536.2 866,442.9 1,172.00 146.50 23.2

09 0.0607 1,080.2 1,067.9 1,539,434.7 816,958.7 1,168.00 147.70 23.1

2006 12 0.0493 1,542.8 1,485.6 1,536,493.3 745,404.8 1,165.00 149.20 23.0

03 0.0437 371.2 349.1 1,746,754.4 858,887.2 1,165.00 150.80 22.9

06 0.0386 836.2 868.4 2,016,090.2 977,750.0 1,163.63 152.78 22.2

09 0.0370 1,299.6 1,462.1 2,191,942.5 1,091,172.3 1,184.26 157.61 21.6

2007 12 0.0331 1,889.0 2,117.3 2,401,249.7 1,329,532.9 1,169.97 160.18 21.7

03 0.0282 579.8 599.3 2,455,147.2 1,603,434.8 1,168.17 166.58 20.3

06 0.0273 1,276.3 1,471.8 2,564,684.1 1,753,657.0 1,158.12 168.78 19.9

09 0.0276 1,968.6 2,425.3 2,525,010.7 1,928,681.0 1,146.10 167.43 19.6

2008 12 0.0712 2,534.5 3,244.5 2,270,001.4 2,061,976.5 1,267.51 185.25 19.3

03 0.0992 322.3 393.9 2,352,558.1 2,169,795.5 1,524.07 222.94 18.8

06 0.0992 762.9 892.8 2,439,247.6 1,977,766.1 1,435.49 210.08 18.5

09 0.1512 1,293.8 1,484.3 2,653,414.7 1,930,001.0 1,426.01 208.85 18.5

2009 12 0.1740 1,885.4 2,137.7 2,880,033.9 1,937,874.3 1,442.84 211.35 18.7

03 0.1456 499.0 577.3 2,974,483.3 2,139,661.1 1,367.10 200.28 19.2

06 0.1332 1,294.2 1,356.3 3,523,607.2 2,283,798.6 1,368.65 201.42 19.4

09 0.1337 2,008.2 2,248.3 3,851,715.3 2,298,844.8 1,325.59 198.16 19.0

2010 12 0.1148 2,908.5 3,200.1 4,679,981.4 2,429,981.1 1,256.47 190.21 19.0

03 0.0997 742.1 1,087.8 4,955,128.8 2,734,749.6 1,195.27 182.51 18.2

06 0.0857 1,992.8 2,725.6 5,772,557.8 3,380,151.7 1,258.64 194.72 17.9

09 0.0706 3,481.7 4,826.3 6,053,868.9 3,699,454.1 1,285.64 201.35 17.3

2011 12 0.0584 4,780.4 6,526.9 6,412,259.3 4,270,983.8 1,396.37 221.63 16.6

03 0.0553 883.8 1,457.9 6,104,817.6 4,403,777.8 1,318.80 209.36 16.4

06 0.0487 2,262.3 3,313.3 7,051,197.7 5,287,742.3 1,342.23 211.19 16.0

09 0.0445 3,231.6 5,245.8 7,112,176.0 5,863,181.6 1,394.47 221.83 16.0

2012 12 0 4,384.6 6,738.9 7,617,272.4 3,950,731.9 1,392.10 223.39 16.1

ARG CNS EDU MIN MAN WHS TRS MRG ICOM OTH

2000:01:00 0.2968 0.0404 0.3373 0.3229 0.3450 0.1273 0.9984 0.095 0.3249

2000:02:00 0.2412 0.0622 0.0515 0.2692 0.2947 0.1304 0.9196 0.107 0.2806

2000:03:00 0.1941 0.1287 0.0465 0.2982 0.2425 0.1073 0.6529 0.153 0.2719

2000:04:00 0.1788 0.0847 0.0443 0.1636 0.2508 0.0459 0.7238 0.186 0.2664

2001:01:00 0.1673 0.0583 0.2655 0.1108 0.1892 0.0807 0.5091 0.198 0.2175

2001:02:00 0.1850 0.0398 0.1339 0.1060 0.1325 0.0431 0.3318 0.000 0.1140

2001:03:00 0.2009 0.0302 0.0076 0.0892 0.1109 0.0802 0.2058 0.000 0.1103

2001:04:00 0.1253 0.0050 0.0790 0.0221 0.0914 0.1476 0.0610 0.000 0.0000

2002:01:00 0.1284 0.1175 0.0048 0.0145 0.0999 0.0635 0.2307 0.1234 0.000 0.0409

2002:02:00 0.0751 0.0788 0.0206 0.0091 0.0912 0.0471 0.1034 0.1060 0.000 0.0405

2002:03:00 0.0644 0.0598 0.0178 0.0043 0.1050 0.0476 0.0783 0.0687 0.000 0.0304

2002:04:00 0.0559 0.0466 0.0329 0.0307 0.1060 0.0326 0.0212 0.0525 0.000 0.0224

2003:01:00 0.1049 0.0458 0.1315 0.0970 0.1355 0.0276 0.0225 0.0409 0.000 0.0332

2003:02:00 0.1118 0.0319 0.1128 0.0725 0.1340 0.0281 0.0130 0.1001 0.029 0.0271

2003:03:00 0.1172 0.0410 0.1008 0.0932 0.1344 0.0298 0.0129 0.0792 0.038 0.0185

2003:04:00 0.0476 0.0182 0.1025 0.0768 0.1184 0.0223 0.0072 0.0428 0.012 0.0182

2004:01:00 0.0591 0.0354 0.0374 0.0537 0.1515 0.0619 0.0000 0.0476 0.011 0.0438

2004:03:00 0.0499 0.0220 0.0438 0.1054 0.1396 0.0381 0.0885 0.0311 0.011 0.0216

2004:04:00 0.0657 0.0680 0.0357 0.0599 0.1331 0.0440 0.0328 0.0163 0.010 0.0487

2005:01:00 0.1081 0.0599 0.0360 0.0115 0.1478 0.0477 0.0301 0.0178 0.008 0.0403

2005:02:00 0.2119 0.0688 0.0351 0.0143 0.1188 0.0457 0.0377 0.0091 0.006 0.0308

2005:03:00 0.1311 0.0453 0.0344 0.0378 0.1244 0.0540 0.0306 0.0172 0.005 0.0217

2005:04:00 0.1199 0.0354 0.0446 0.0304 0.1230 0.0574 0.0235 0.0088 0.006 0.0173

2006:01:00 0.1075 0.0387 0.0719 0.0334 0.1145 0.0621 0.0164 0.0080 0.012 0.0235

2006:02:00 0.0970 0.0316 0.0611 0.0401 0.1247 0.0557 0.0121 0.0231 0.006 0.0301

2006:03:00 0.0906 0.0508 0.0577 0.0204 0.1537 0.0559 0.0144 0.0242 0.008 0.0293

2006:04:00 0.0635 0.0607 0.0315 0.0225 0.1275 0.0429 0.0143 0.0179 0.004 0.0261

2007:01:00 0.0464 0.0481 0.0412 0.0190 0.1098 0.0371 0.0074 0.0310 0.071 0.0284

2007:02:00 0.0343 0.0389 0.0356 0.0132 0.0840 0.0366 0.0208 0.0515 0.018 0.0267

2007:03:00 0.0311 0.0235 0.1118 0.0206 0.0671 0.0495 0.0141 0.0450 0.002 0.0229

2007:04:00 0.0276 0.0165 0.1272 0.0357 0.0591 0.0392 0.0139 0.0449 0.058 0.0195

2008:01:00 0.0249 0.0099 0.1553 0.0262 0.0490 0.0341 0.0141 0.0237 0.039 0.0178

2008:02:00 0.0334 0.0061 0.1123 0.0278 0.0502 0.0336 0.0081 0.0148 0.056 0.0174

2008:03:00 0.0478 0.0045 0.1847 0.0281 0.0531 0.0329 0.0120 0.0156 0.023 0.0209

2008:04:00 0.1111 0.1051 0.2551 0.1626 0.0565 0.0576 0.1723 0.0591 0.054 0.0405

2009:01:00 0.0890 0.1390 0.1896 0.1432 0.1145 0.0898 0.1884 0.0703 0.084 0.0548

2009:02:00 0.0890 0.1390 0.1896 0.1432 0.1145 0.0898 0.1884 0.0703 0.084 0.0548

2009:03:00 0.1262 0.2056 0.1975 0.2242 0.1913 0.1377 0.2636 0.0761 0.548 0.0685

2009:04:00 0.2462 0.3015 0.2308 0.1800 0.1984 0.1591 0.2470 0.1128 0.137 0.0744

2010:01:00 0.2371 0.1897 0.1911 0.1438 0.1781 0.1456 0.1942 0.1117 0.097 0.0632

2010:02:00 0.2562 0.1833 0.1285 0.1316 0.1646 0.1225 0.1992 0.1007 0.097 0.0541

2010:03:00 0.2464 0.2496 0.1490 0.1531 0.1832 0.1179 0.1426 0.0520 0.094 0.0553

2010:04:00 0.2397 0.1726 0.1345 0.1513 0.2001 0.0947 0.1558 0.0479 0.066 0.0401

2011:01:00 0.2275 0.1522 0.2002 0.1486 0.1605 0.0832 0.1606 0.0456 0.082 0.0300

2011:02:00 0.2304 0.1270 0.2964 0.1702 0.1492 0.0693 0.0725 0.0347 0.056 0.0172

2011:03:00 0.1860 0.0863 0.1665 0.1586 0.1050 0.0617 0.0573 0.0268 0.053 0.0222

2011:04:00 0.1784 0.0675 0.2283 0.1442 0.0653 0.0453 0.0797 0.0258 0.038 0.0180

2012:01:00 0.0650 0.0656 0.2225 0.1710 0.0616 0.0432 0.0488 0.0235 0.036 0.0156

2012:02:00 0.0495 0.0510 0.1854 0.1330 0.0603 0.0378 0.1039 0.0207 0.039 0.0143

2012:03:00 0.0469 0.0453 0.1854 0.1230 0.0569 0.0358 0.0883 0.0202 0.053 0.0116

zeeliin bagtsiig ediiin zasgiin salbaruudaar onowchloh nu 2013

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