信用风险中违约概率的测算模型研究——兼论我国商业银行基于巴塞尔新协议的内部评级法  

A Study of the Evaluating Model About Probability of Default in the Credit Risk——Carried out by our country's commercial bank based on The New Basel Accord Internal Ratings

作　　者：赵轲轲[1] 毛加强[1] 

机构地区：[1]西北工业大学人文与经法学院,陕西西安710072

出　　处：《郑州大学学报（哲学社会科学版）》2007年第3期68-72,共5页Journal of Zhengzhou University:Philosophy and Social Sciences Edition

摘　　要：巴塞尔新协议鼓励商业银行在内部评级法下对重要信用风险因素进行评估测算。其中,关于重要风险因素违约概率的测算,西方国家目前主要有三种模型。我国在运用时,在利用借款人信息和导致违约的因素方面比较欠缺。基于此,如果合理运用贝叶斯估计模型和逻辑斯蒂回归模型对违约概率进行预测,可以有效解决这个问题。New Basel Accord encourages the commercial bank to evaluate the important credit risk factor under the law of internal ratings.With regard to the evaluation of the probability of default of the important risk factor,this note analyses and sums up the evaluating model about the probability of default risk carried out by Western countries at present and gives thought to that when this model is used in our country there will be quite insufficiency with respect to the default factor caused by making use of the borrower's information.On the basis of this,it is thought that this question can be effectively solved if the possibility of default is evaluated by rationally making use of Bayes Estimating Model and Logistic Rating Model.

关 键 词：违约概率 影响因素 模型测算 

分 类 号：F832[经济管理—金融学]