| 信用风险主流模型与RCM模型的比较及借鉴 |
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| 引用本文： | 龚澄.信用风险主流模型与RCM模型的比较及借鉴[J].国际金融研究,2008(2). |
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| 作者姓名： | 龚澄 |
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| 作者单位： | 西北大学经济管理学院 |
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| 摘 要： | RCM模型是信用风险管理理论的最新发展,它有效地融合了风险集中度、信用风险损失和资本充足率等变量,根据贷款组合整体价值的相应比例来度量风险集中度,并确定相应风险限额,为信用风险度量提供了一种新的理念和分析框架。本文介绍了RCM模型的基本理论,比较分析了现有主流信用风险模型与RCM模型的共性及差异,结果发现虽然RCM模型仍有一些缺陷,但其简便、实用的特点决定了其对我国银行业和银行监管机构具有较强的借鉴意义。
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| 关 键 词： | 信用风险 度量 RCM模型 资产组合集中度 风险限额 |
A Comparison between Mainstream Models of Credit Risk and RCM Model and Implication |
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| Gong Cheng.A Comparison between Mainstream Models of Credit Risk and RCM Model and Implication[J].Studies of International Finance,2008(2). |
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| Authors: | Gong Cheng |
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| Abstract: | RCM model is the latest development of credit risk management theory,which combine several variables of risk concentration,credit risk loss and capital adequacy. Through measuring portfolio concentration and confirming risk limit,RCM model provides a new frame of measuring credit risk. This paper introduces the basic theory of RCM model,compares the mainstream credit risk models with RCM model. It concludes that the banking and regulator in China could learn useful ideas and techniques from RCM model . |
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| Keywords: | Credit Risk Measurement RCM Model Portfolio Concentration Risk Limit |
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