违约率评估的经济计量方法:理论、模型与实证研究  

The Econometric Methods of Evaluation of Default Probability:Theory,Model and Empirical Study

作　　者：朱华锋[1] 

机构地区：[1]广州大学数学与信息科学学院,广东广州510006

出　　处：《广州大学学报（社会科学版）》2008年第4期58-62,共5页Journal of Guangzhou University:Social Science Edition

摘　　要：违约率的评估与测度是巴塞尔新资本协议内部评级法的关键内容。因此,如何准确、有效地计量违约率是商业银行信用风险管理的核心问题。文章从违约与违约率的概念出发,对国内外学术界违约率评估的主流方法——经济计量方法进行了探讨,对其理论基础,模型构建以及实证研究进行了梳理、评价和比较分析。The Evaluation of Possibility of Default （PD） has been listed as the crucial part of IRB （ Internal Rating-Based） in the new Basel Capital Accord. So it has been the key problem of the Credit Risk Management of Commercial Bank to evaluate and curate the PD accurately and effectively. This paper is an empirical study of the main econometric methods of PD evaluation in domestic and foreign academics, the model construction and its theoretical basis are discussed based on the findings of the research.

关 键 词：违约率 经济计量模型 线性判别模型 LOGIT模型 主成分分析 

分 类 号：F830.5[经济管理—金融学]