信贷资产组合保险策略定价研究  

A Study on Pricing the Insurance Strategy of Credit Portofolio

作　　者：唐吉平[1] 陈浩[1] 陈德付[1] 

机构地区：[1]浙江大学经济学院

出　　处：《数量经济技术经济研究》2006年第4期118-127,共10页Journal of Quantitative & Technological Economics

摘　　要：本文探讨了信贷资产组合保险策略在信用风险管理领域的地位。基于CreditMetrics模型,提出了信贷资产组合保险策略的定价算法,这是对主流风险计量模型的一种全新尝试。处理的过程对CreditMetrics的VaR技术做了一些细节上的变换,通过蒙特卡洛模拟得到了较理想的运算结果。最后对模型的实施提出了合理的建议。This paper discussed the insurance strategy of credit portofolio , pointed out its status in the area of credit risk management. Based on the CreditMetrics model, the paper advanced a pricing arithmetic about the strategy of credit portfolio, which is an entirely new attempt to the main risk measurement models. The disposal process made some detail transformation to the VaR technology of CreditMetrics, and got some ideal results through Monte Carlo Simulation. Finally the paper advanced some reasonable advices to implement the model.

关 键 词：信用风险 保险 资产组合 定价 蒙特卡洛模拟 

分 类 号：F832.4[经济管理—金融学]