基于风险调整收益方法的企业信用风险管理研究  

On Enterprise Credit Risk Management: Based on RAROC

作　　者：孙彤[1] 汪波[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《商业经济与管理》2009年第1期45-50,共6页Journal of Business Economics

摘　　要：文章根据风险调整收益(RAROC)的原理,借鉴J.P.摩根的信用计量CreditMetrics模型中信用等级转移的思想,构建了应收账款回收期内受信企业信用状况转移矩阵,并据此计算出企业信用VaR值和经济资本CaR值,进而计算RAROC比值,可为企业信用销售决策提供依据。通过将RAROC方法引入企业信用风险管理体系,可以对企业经营活动进行基于风险的绩效考核和业绩评价,以期提高企业信用风险管理水平。This paper,based on RAROC methodology and the credit migration approach proposed by JP Morgan with CreditMetrics, constructs a credit migration matrix of credit receiver in accounts receivable duration to calculate the credit Value-at-Risk value and Capital-at-Risk value, as well as the RAROC ratio, which can be used in the decision-making on enterprise＇s sale on credit. Besides, by introducing RAROC methodology into enterprise credit management system,we look forward to improving enterprise credit risk management by assessing and evaluating the performance of enterprise management process based on risk.

关 键 词：信用风险管理 受险价值 经济资本 资本的风险调节收益率 

分 类 号：F270[经济管理—企业管理]