| 现代信用风险模型特征比较研究 |
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| 引用本文： | 王毅春,孙林岩.现代信用风险模型特征比较研究[J].当代经济科学,2004,26(2):60-63. |
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| 作者姓名： | 王毅春 孙林岩 |
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| 作者单位： | 西安交通大学,管理学院,陕西,西安,710049 |
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| 摘 要： | 本文对现今国际上信用风险管理实践中应用最为广泛的KMV,GrcditMetrics,CreditRisk ,CreditPortfolio View四个模型进行了比较,从反映原理概念,结构角度研究了各模型的特征,介绍了实证效果,以期为我国商业银行信用风险模型的构建提供借鉴与参考.
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| 关 键 词： | 信用风险 巴塞尔协议 商业银行 |
| 文章编号： | 1002-2848(2004)02-0060-04 |
| 修稿时间： | 2003年12月8日 |
Comparative Study on the Character of Modern Credit Risk Models |
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| WANG Yi-chun,SUN Lin-yan.Comparative Study on the Character of Modern Credit Risk Models[J].Modern Economic Science,2004,26(2):60-63. |
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| Authors: | WANG Yi-chun SUN Lin-yan |
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| Abstract: | In this paper comparisons are made between the four credit-risk models (KMV, CreditMetrics, CreditRisk and CreditProfolio View) widely used in international credit risk management. Focusing on the respective principle, concept and structure, this paper studies the characters of each model and then gives the empirical result in the hope of coming up with references for the construction of the credit risk models of our commercial banks. |
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| Keywords: | credit risk the Basel Agreement commercial bank |
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