| 银行信用风险度量CreditMetricsTM模型与CPV模型比较研究 |
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| 引用本文： | 谢赤,徐国嘏.银行信用风险度量CreditMetricsTM模型与CPV模型比较研究[J].湖南大学学报(自然科学版),2006,33(2):135-137. |
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| 作者姓名： | 谢赤 徐国嘏 |
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| 作者单位： | 湖南大学,工商管理学院,湖南,长沙,410082 |
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| 基金项目： | 国家社会科学基金资助项目(03BJY099)，教育部博士点专项科研基金资助项目(20020532005)，全国高校青年教师奖励基金资助项目 |
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| 摘 要： | 根据新巴塞尔资本协议的基本原则及巴塞尔银行监管委员会推荐的确定资本金的VaR方法,结合中国商业银行目前信用风险管理的实际情况,比较分析CreditMet-ricsTM模型和CPV模型的基本原理和参数选择的共性及差异,对两模型各自特点做出客观评价,结果发现运用CPV模型有利于提高信用风险度量的精确性,为商业银行信用风险管理提供了有益的借鉴.
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| 关 键 词： | 新巴塞尔资本协议 信用风险度量模型 信用转移矩阵 违约概率 |
| 文章编号： | 1000-2472（2006）02-0135-03 |
| 收稿时间： | 10 25 2005 12:00AM |
| 修稿时间： | 2005-10-25 |
Study on Internal Credit Risk Measurement Models for Commercial Banks in China |
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| XIE Chi,XU Guo-gu.Study on Internal Credit Risk Measurement Models for Commercial Banks in China[J].Journal of Hunan University(Naturnal Science),2006,33(2):135-137. |
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| Authors: | XIE Chi XU Guo-gu |
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| Institution: | College of Business Administration, Hunan Univ, Changsha, Hunan 410082, China |
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| Abstract: | According to The New Basel Capital Accord and VaR method recommended by the Basel Committee on Banking Supervision to determine the minimum capital,the basic framework for internal credit risk management suitable to commercial banks in China was investigated.The investigation combined the techniques in CreditMetricsTM and CPV with the objective practices in the commercial banks,and revealed that CPV improved the accuracy of credit risk management.This framework will play an important role for credit risk management of the commercial banks in China. |
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| Keywords: | the New Basle Accord credit risk measurement model credit transfer matrix default probability |
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