| 客户信用评级体系的校准度检验研究 |
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| 引用本文： | 程建.客户信用评级体系的校准度检验研究[J].山西财经大学学报,2008,30(8). |
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| 作者姓名： | 程建 |
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| 作者单位： | 北京大学,光华管理学院,北京100871;中国建设银行,博士后科研工作站,北京,100032 |
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| 摘 要： | 利用多种统计量对客户信用评级体系进行校准度检验,以对其准确性做出定量评估。同时,使用这些统计量对由两种不同方法构造的信用评级进行了实证对比检验,结果表明,校准度检验能够对客户信用评级的准确性做出有效评估。
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| 关 键 词： | 客户信用评级 校准度检验 布莱尔分数 HL卡方统计量 二项式检验 |
Validation of the Calibration of Obligor Credit Rating Systems |
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| CHENG Jian.Validation of the Calibration of Obligor Credit Rating Systems[J].Journal of Shanxi Finance and Economics University,2008,30(8). |
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| Authors: | CHENG Jian |
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| Abstract: | It is important for banks that the Obligor credit rating system is representative and accuracy in credit management,loan pricing and capital charging.This paper uses several statistics to validate the representative and accuracy of rating systems,meanwhile,based on two rating systems with different methods this paper carries out a calibration test,the empirical result shows these statistics can provide valued evaluation on representative and accuracy of rating systems. |
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| Keywords: | credit rating Validation of Calibration Brier Score HL Chi Square Binomial Test |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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