| 内部评级违约概率度量模型的演进与启示 |
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| 引用本文： | 马永波,晏国祥.内部评级违约概率度量模型的演进与启示[J].石家庄经济学院学报,2006,29(2):207-211. |
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| 作者姓名： | 马永波 晏国祥 |
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| 作者单位： | 1. 上海财经大学,金融学院,上海,200433
2. 湖南商学院,湖南,长沙,410205 |
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| 摘 要： | 违约概率度量是巴塞尔新资本协议内部评级法的核心内容之一.按照其不断演进的内在逻辑,对国外主要的违约概率度量模型进行了全面的分析与评价,对国内建立或选择合适的违约概率度量模型具有重要的启示意义.
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| 关 键 词： | 内部评级法 违约概率 LOGIT模型 |
| 文章编号： | 1007-6875(2006)02-0207-05 |
| 收稿时间： | 2005-12-09 |
| 修稿时间： | 2005年12月9日 |
Enlightenment on the Evolution of Estimating Models of Default Probability in the Internal Ratings-based Approach |
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| MA Yong-bo,YAN Guo-xiang.Enlightenment on the Evolution of Estimating Models of Default Probability in the Internal Ratings-based Approach[J].Journal of Shijiazhuang University of Economics,2006,29(2):207-211. |
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| Authors: | MA Yong-bo YAN Guo-xiang |
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| Abstract: | Estimating default probability is one of the core issues under the Internal Ratings-based Approach. This paper gives a comparative analysis on the evolution of main estimating models of default probability in foreign countries, and finally some suggestions are given to set or choose the suitable models for domestic commercial banks. |
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| Keywords: | the new Basel accord internal ratings-based approch default probability |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
