信用组合风险度量研究  

Research on Credit Portfolio Risk Measurement

作　　者：林森[1] 吴云峰[1] 高峰[1] 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《运筹与管理》2008年第5期114-119,共6页Operations Research and Management Science

摘　　要：我国商业银行在信用组合风险管理方面还比较薄弱,虽然国外已有一些较为成熟的信用组合风险管理模型,但是很难在中国直接应用。另一方面,早期的信用组合风险往往只是单独考虑个别资产的风险,没有考虑资产之间的违约相关性,造成风险度量的偏差。本文在考虑了违约相关性的基础上,基于Logit回归分析,利用微模拟的方法,提出了一个符合中国商业银行资产特点的信用组合风险度量模型。China＇ s commercial banks are still relatively weak in the management of credit portfolio risk. Although there are some mature credit portfolio risk management models in foreign countries, we couldn＇t apply these models directly. On the other hand, early credit portfolio risk measurement does not consider the default correlation. In this paper, we base our study on the Logit regression and the micro-simulation method, and consider the default correlation. And then we propose a credit portfolio risk measurement model, which is suitable for China＇ s commercial banks.

关 键 词：金融工程 信用风险度量 Logit分析 微模拟 

分 类 号：F832.35[经济管理—金融学]