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| 中国信用风险预警模型及实证研究——基于企业关联关系和信贷行为的视角 | |
| 引用本文： | 刘堃,巴曙松,任亮.中国信用风险预警模型及实证研究——基于企业关联关系和信贷行为的视角[J].财经研究,2009,35(7). |
| 作者姓名： | 刘堃 巴曙松 任亮 |
| 作者单位： | 1. 中国科技大学,管理学院,安徽,合肥,230026 2. 国务院发展研究中心,金融研究所,北京,100010 3. 中国科学院,研究生院金融科技研究中心,北京,100081 |
| 摘 要： | 文章从分析当前次贷危机的根源出发,在综述现有信用风险计量预警模型的基础上,针对其在我国的适应及局限性问题,根据风险相关性原理和多米诺骨牌理论,提出从企业关联关系(Correlation)和信贷行为(Behavior)角度建立一种全新的信用风险预警模型(简称C&B模型),并应用国内某商业银行的数据进行实证研究.结果表明,在我国商业银行中应用C&B模型,思路可行,数据易得,预警有效. |
| 关 键 词： | 关联关系 信用风险 预警模型 实证研究 |
Research on Credit Risk Early-warning Model Based on the Correlation and Credit Behavior of Enterprises |
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| LIU Kun,BA Shu-song,REN Liang.Research on Credit Risk Early-warning Model Based on the Correlation and Credit Behavior of Enterprises[J].The Study of Finance and Economics,2009,35(7). | |
| Authors: | LIU Kun BA Shu-song REN Liang |
| Institution: | LIU Kun1,BA Shu-song2,REN Liang3(1.School of Management,University of Science , Technology of China,Hefei 230026,China,2. Institute of Finance,Development Research Center of the State Council,Beijing 100010,3. Research Center for Financial Science , Technology of Graduate University,Chinese Academyof Science,Beijing 100081,China) |
| Abstract: | Based on the analysis of the root of the current sub-prime loan crisis and the overview on the credit risk models,the paper builds up a new credit risk early-warning model from the angles of the correlation and credit behavior of enterprises (thus abbreviated as C&B Model) under risk Domino theory. And then it makes an empirical study by employing the true data of a certain commercial bank in China. The results show the feasibility and effectiveness of the methodology of C&B Model. |
| Keywords: | correlation credit risk early-warning model empirical study |
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