高级内部信用风险度量模型方法的比较  

AN ANALYSIS ON THE MODELS FOR THE MEASUREMENT OF CREDIT RISKS

作　　者：杨蕴石[1] 徐枞巍[2] 

机构地区：[1]北京航空航天大学经济管理学院,博士研究生北京100083 [2]合肥工业大学,校长教授博士生导师合肥230009

出　　处：《科技导报》2004年第7期51-53,共3页Science & Technology Review

摘　　要：本文对目前国际上比较著名的信用风险管理模型CreditMetricsTM、KMV系统、CreditRisk+、CreditPort鄄folioView及其方法进行了一系列比较,研究了模型建立的理论基础以及模型之间的相互关系,阐述了现代信用风险度量技术和方法的特点和发展趋势。这4个新型信用风险度量模型的框架和思路,将对我国金融机构信用风险管理提供有益借鉴。Various credit risk assessment approaches and models have been put forward in the recent years. The paper has introduced the most famous models including CreditMetricsTM, CreditRisk+, KMV and CreditPortfolio View, and analyzed the differences,advantages and disadvantages among them. These models, with their unique framework and reasoning clues, will have reference values to the country's credit risk management of financial institutions.

关 键 词：信用风险管理模型 度量模型 比较分析 银行业 中国 

分 类 号：F830[经济管理—金融学]