creditrisk^＋模型在信贷组合信用风险度量中的应用研究  

The Research of Portfolio Credit Risk Measurement Based on Creditrisk^+ Model

作　　者：刘迎春[1] 

机构地区：[1]东北财经大学数学与数量经济学院、经济计量分析与预测研究中心,辽宁大连116023

出　　处：《数学的实践与认识》2012年第9期45-51,共7页Mathematics in Practice and Theory

基　　金：辽宁省社会科学规划基金(L11DJY048);辽宁省教育厅人文社会科学研究项目(W2011109)

摘　　要：creditrisk^+模型以泊松分布为理论基础,是一种输入数据较少、计算复杂度较小、便于在银行实际中应用和推广的信贷组合信用风险度量模型.本文在分析国外creditrisk^+模型频带划分缺陷基础上,改用加权平均的频带划分方法,并提出了新的违约率参数的确定办法,利用creditrisk^+模型对大连市商业银行某支行224笔中小公司贷款的非预期损失进行了实证计算.结果发现:creditrisk^+模型可以有效地计量信贷组合的非预期损失且可提高我国商业银行经济资本管理效率.creditrisk^＋model is based on the possion theory.It is a kind of model that need less datas, simple calculations,adapting to apply and popularize in the bank. We use 224 practical clients＇loan portfolio datas of Dalian commercial banks, On the basis of analyzing the defect of the bands division method in abroad, we use an innovative way to devise the bands and propose an operational way to determine the clients＇ probability of default,we calculate the unexpected losses of the portfolio.we obtain the conclusion that the creditrisk＋model can measure the unexpected losses efficiently and it can enhance the management efficiency of the economic capital.

关 键 词：creditrisk^+模型 商业银行 信用风险 

分 类 号：F830.5[经济管理—金融学] O211.3[理学—概率论与数理统计]