| 高级内部信用风险度量模型方法的比较 |
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| 引用本文： | 杨蕴石 徐枞巍. 高级内部信用风险度量模型方法的比较[J]. 科技导报(北京), 2004, 0(7): 51-53 |
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| 作者姓名： | 杨蕴石 徐枞巍 |
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| 作者单位： | 北京航空航天大学经济管理学院,博士研究生,北京,100083;合肥工业大学,校长、教授、博士生导师,合肥,230009 |
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| 摘 要： | 本文对目前国际上比较著名的信用风险管理模型CreditMetrics TM、KHV系统,CreditRisk ．CreditPortfolio View及其方法进行了一系列比较，研究了模型建立的理论基础以及模型之间的相互关系，阐述了现代信用风险度量技术和方法的特点和发展趋势。这4个新型信用风险度量模型的框架和思路，将对我国金融机构信用风险管理提供有益借鉴。
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| 关 键 词： | 商业银行 信用风险度量模型 风险价值 |
| 文章编号： | 1000-7857(2004)07-0051-03 |
AN ANALYSIS ON THE MODELS FOR THE MEASUREMENT OF CREDIT RISKS |
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| YANG Yun-shi Xu Cong-wei. AN ANALYSIS ON THE MODELS FOR THE MEASUREMENT OF CREDIT RISKS[J]. Science & Technology Review, 2004, 0(7): 51-53 |
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| Authors: | YANG Yun-shi Xu Cong-wei |
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| Affiliation: | YANG Yun-shi1 Xu Cong-wei2 |
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| Abstract: | Various credit risk assessment approaches and models have been put forward in the recent years. The paper has introduced the most famous models including CreditMetricsTM, CreditRisk+, KMV and CreditPortfolio View, and analyzed the differences,advantages and disadvantages among them. These models, with their unique framework and reasoning clues, will have reference values to the country's credit risk management of financial institutions. |
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| Keywords: | commercial bank credit risk measurement model value at risk |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
