| 国外信用风险度量方法及其适用性研究 |
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| 引用本文： | 韩岗. 国外信用风险度量方法及其适用性研究[J]. 国际金融研究, 2008, 0(3) |
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| 作者姓名： | 韩岗 |
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| 作者单位： | 国家开发银行大连市分行 |
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| 摘 要： | 信用风险是银行面临诸多风险中最重要的风险,如何量化和控制信用风险一直是金融研究的热点领域之一。本文在对国外现代主流信用风险度量模型进行比较研究的基础上,分析了它们各自的特征和适用性,结合中资银行的特点,提出了适合我国国情的信用风险度量模型选取原则,基于我国现状建议在国内推广应用Logistic模型,以期对我国信用风险管理实务有一定的参考价值。
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| 关 键 词： | 信用风险 度量方法与模型 适用性 Logistic模型 |
A Study on Credit Risk Measurement Methods in Foreign Countries and Its Applicability in China |
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| Han Gang. A Study on Credit Risk Measurement Methods in Foreign Countries and Its Applicability in China[J]. Studies of International Finance, 2008, 0(3) |
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| Authors: | Han Gang |
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| Abstract: | Credit risk is the most important financial risk that banks are facing. How to quantify and control credit risk has been a hot field on financial research. In this paper,on the basis of comparative study on modern mainstreams of credit risk measurement model in foreign countries,the author analyzes their characteristics and applicability. Combining the characteristics of Chinese banks,the author proposes some guiding principles of choosing credit risk measurement model suitable for China,and established a Logistic Model for China's credit risk management which has important practical significance. |
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| Keywords: | Credit Risk Measurement Method and Models Applicability Logistic Model. |
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