银行信用风险的结构模型及其影响因素分析

信用风险结构模型是现代测量信用风险的最主要工具之一。本文采用信用风险结构模型对我国上市银行的信用风险进行了估计,并将估计结果与机构评级结果进行了对比分析。结果显示,信用结构模型能对我国银行的信用风险等级分类,但其预测的违约概率与机构评级揭示的违约率有显著差异。本文从委托代理和信息不对称角度对产生这种差异的几种因素进行了分析。

Structural Model of Bank Credit risk and Its Influencing Factors

Structural credit model is one of the most important modern tools in credit risk measurement.In this paper,we use the structural credit model to estimate the credit risk of banks,and compare the estimated results with those estimated by agency ratings.The results show that there is a significant difference in the probability of default estimated with this model and agency rating method.This paper analyzes several factors that cause such differences from the perspective of agency problems and asymmetric info...