商业银行信用风险测量方法的演进及借鉴  

Evolution and Lessons of Credit Measuring Approach of Credit Risks in Commercial Banks

作　　者：李毅敏[1] 李仲飞[1] 

机构地区：[1]中山大学岭南学院,广东广州510275

出　　处：《华南金融研究》2002年第5期33-36,共4页South China Financial Research

摘　　要：自巴赛尔协议规定用于确定风险的资本充足度内部模型必须是以VaR为基础的模型以来,VaR已成为目前最为流行的风险管理模型,此模型的引进和应用对改进我国商业银行信用管理有借鉴意义。Since the Basaille Treaty has made it a rule that the interior model of assets adequacy ratio of risks must be a model based on VAIi.VAR ahs turned out to be the most fashionable risk managing model.The introduction and application of such a model offer a good lesson for the improvement of credit management of Chinese commercial banks.

关 键 词：商业银行 信用风险 测量方法 信用风险管理 传统模型 现代模型 

分 类 号：F830.33[经济管理—金融学] F830.5