| 信用迁移矩阵特性实证分析 |
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| 引用本文： | 顾乾屏,陈顺发,刘炜,杜家悌. 信用迁移矩阵特性实证分析[J]. 石家庄经济学院学报, 2007, 30(2): 24-30 |
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| 作者姓名： | 顾乾屏 陈顺发 刘炜 杜家悌 |
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| 作者单位： | 清华大学,经济管理学院,北京,100084;中国工商银行,漳州市分行,福建,漳州,363000;中国工商银行总行,北京,100032;中国工商银行,湖南分行,湖南,长沙,410005 |
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| 摘 要： | 借鉴了马尔可夫链的统计原理,在商业银行评级体系的基础上,利用大量实际数据,统计得到多种信用等级迁移矩阵,对其特性进行了深入分析,并为开展后继研究奠定基础。
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| 关 键 词： | 迁移矩阵 信用风险 马尔可夫链 商业银行 |
| 文章编号： | 1007-6875(2007)02-0024-07 |
| 修稿时间： | 2006-12-18 |
The Empirical Research on Characteristics of Credit Migration Matrix |
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| GU Qian-ping,CHEN Shun-fa,LIU Wei,DU Jia-ti. The Empirical Research on Characteristics of Credit Migration Matrix[J]. Journal of Shijiazhuang University of Economics, 2007, 30(2): 24-30 |
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| Authors: | GU Qian-ping CHEN Shun-fa LIU Wei DU Jia-ti |
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| Affiliation: | 1. Tsinghua University, Beijing 100084 ; 2. Zhangzhou Branch of Industrial and Commercial Bank of China, Zhangzhou, Fujian 363000; 3. Head Office of Industrial and Commercial Bank of China, Beijing 100032 ; 4. Hunan Branch of Industrial and Commercial Bank of China, Changsha, Hunan 410005 |
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| Abstract: | Taking the theory of Markov Chain as a reference,this paper uses a range of actual data to generate different migration matrixes,and makes a detailed analysis on the characteristic of migration matrixes based on the commercial bank rating system.And then,this paper lays the foundation for the subsequent researches. |
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| Keywords: | migration matrix credit risk Markov chain commercial bank |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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