CreditRisk^+模型在商业银行信贷风险管理中的应用  

The Application of CreditRisk^+ Model in Credit Risk Management in Commercial Banks

作　　者：刘洪川[1] 王琳[2] 

机构地区：[1]云南财经大学财政金融学院,云南昆明650221 [2]中国建设银行云南省分行,云南昆明650011

出　　处：《云南财经大学学报》2006年第5期20-25,共6页Journal of Yunnan University of Finance and Economics

摘　　要：使用CreditRisk^+(信贷风险附加)模型对选自某商业银行的贷款的资产组合进行风险测度。得到了资产组合中各债务人的预期违约损失和风险贡献,资产组合的预期违约损失分布,以及各置信度损失水平下的临界值等信息,从而完成了资产组合风险的测量。根据测量结果,对资产组合进行了预期违约损失、风险贡献、经济资本和信用准备金等分析,在此基础上提出目前我国商业银行信贷风险管理的现实选择是CreditRisk^+这种违约模式的模型。Risk measurement is made by measuring the portfolios of bank loans from some commercial banks by using CreditRisk ^＋ Model. Information in the portfolios such as the loss of expected breach of agreement and venture contribution of the debtors, distribution of expected breach of agreement, and the critical values under different confidence level of loss. Therefore, the measurement of portfolios is finished. According to the results of measurement, analyses about the portfolios are made including the loss of expected breach of agreement, venture contribution, economic capital, and credit reserve. It is supported that a practical choice of the commercial banks in China is to choose the CreditRisk ^＋ Model in credit risk management.

关 键 词：资产组合 信贷风险 CreditRisk^+模型 

分 类 号：F830.33[经济管理—金融学]