| 信用风险模型中转移矩阵的调整问题 |
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| 引用本文： | 曾健,陈俊芳. 信用风险模型中转移矩阵的调整问题[J]. 系统管理学报, 2007, 16(3): 257-261 |
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| 作者姓名： | 曾健 陈俊芳 |
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| 作者单位： | 上海交通大学,安泰经济与管理学院,上海,200052 |
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| 摘 要： | 近年来,基于信用评级的信用风险模型得到了广泛的应用,而转移矩阵的调整是评级模型应用中的关键问题之一。分析了信用风险模型中转移矩阵调整中存在的主要问题,对几种常用的矩阵调整方法进行了比较分析,并就现有调整方法中存在的问题进行了探讨和改进。
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| 关 键 词： | 信用风险模型 转移矩阵 调整 |
| 文章编号： | 1005-2542(2007)03-0257-05 |
| 修稿时间： | 2005-09-21 |
On the Adjustment of Transition Matrices in Credit Risk Models |
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| ZENG Jian,CHEN Jun-fang. On the Adjustment of Transition Matrices in Credit Risk Models[J]. Systems Engineering Theory·Methodology·Applications, 2007, 16(3): 257-261 |
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| Authors: | ZENG Jian CHEN Jun-fang |
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| Abstract: | Rating-based Credit Risk Models have been used extensively in recent years.An important issue when using such models is about the adjustment of transition matrices.In this paper the main problems of the adjustment of transition matrices are analyzed,followed by a comparison of some of the approaches mentioned by the literature so far.Also proposals have been made for the improvements of some of these approaches. |
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| Keywords: | credit risk model transition matrices adjustment |
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