基于CreditMetrics模型的Var方法计算  

Research on Credit of Single Loan Based on the Creditmetrics Model

作　　者：谭畅[1] 朱玉林[1] 

机构地区：[1]中南林业科技大学经济学院,长沙410004

出　　处：《经济问题》2009年第5期106-108,共3页On Economic Problems

基　　金：湖南省林业厅2006年科技计划重点项目"湖南省商品林业经济预测技术研究"

摘　　要：近期全球金融市场呈现出前所未有的波动性和脆弱性,各国金融监管当局和金融机构都在不断强化和完善对风险的管理。基于CreditMetrics模型,确定了一种能够根据信贷资产的具体情况,方便、快捷地量化风险的通用计算方法。该方法通过明确设定信用等级转移矩阵,估算未来不同信用等级下的贷款远期价值以及推导贷款价值变动的远期分布,对单笔贷款的信用风险进行了具体的量化分析,有利于各金融机构对信贷资产的风险识别、业绩评估和对金融创新业务风险的监管。Various countries financial supervisions and institutions are continuously strengthening and perfecting the management of risk because the unprecedented fluctuatioh is appeared in the global financial market. The paper deter- mined a general calculation method which can quantify the risk conveniently and fast according to concrete credit assets based on CreditMetrics model. The method is beneficial to risk identification, performance evaluation of commercial bank＇s credit assets, and financial innovation business risk supervision by setting credit ranks transfer matrix definitely, estimating forward value of loan under different credit grade, deriving long - term distribution of the change of loan＇ s value, analyzing concretely and quantitatively the credit risk of single loan.

关 键 词：VAR CREDITMETRICS模型 信用等级转移矩阵 

分 类 号：F830[经济管理—金融学]