现代信用风险度量模型的对比分析  

A Comparative Analysis of the Model for the Measurement of Credit Risks

作　　者：张亚涛[1] 

机构地区：[1]中国人民大学统计学系,北京100872

出　　处：《山西财经大学学报》2002年第6期107-108,共2页Journal of Shanxi University of Finance and Economics

摘　　要：近年来 ,信用风险度量的方法和模型不断推陈出新 ,其中CreditMetrics模型、CreditRisk +模型、KMV模型和Credit PortfolioView模型是四个最具影响力的模型 ,这四个新型信用风险度量模型的框架和思路 ,对我国金融机构和金融监管部门的信用风险管理提供了有益借鉴。Various credit risk assessment approaches and models have been put forward in the recent years, among them are CreditMetrics, CreditRisk+, KMV, and CreditPortfolioView, who are the most prestiged. These models, with their unique framework and reasoning clues, may have reference values to the country's credit risk management over financial institutions and financial supervisory departments.

关 键 词：信用风险 度量模型 信用转移矩阵 违约概率 CREDITMETRICS模型 CREDITRISK+模型 KMV模型 CreditPortfolioview模型 

分 类 号：F820.4[经济管理—财政学] F830.