| 国内外两种信用风险模型的比较与剖析 |
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| 引用本文： | 彭书杰,詹原瑞.国内外两种信用风险模型的比较与剖析[J].甘肃科学学报,2002,14(1):91-95. |
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| 作者姓名： | 彭书杰 詹原瑞 |
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| 作者单位： | 天津大学管理学院,天津,300072 |
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| 摘 要： | 将近年来西方国家提出的信用风险模型－－CreditRisk^ 模型与我国目前所使用的贷款风险度方法做了详细的比较分析。结合现代金融的发展趋势，对贷款风险方法提出了一些合理化的见解，以提高其准确度，增强其理论依据，并对今后我国商业银行的风险管理提出了一些建议。
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| 关 键 词： | 信用风险 CreditRisk^＋模型 贷款风险度 概率母函数 商业银行 风险管理 |
| 文章编号： | 1004-0366(2002)01-0091-05 |
| 修稿时间： | 2001年6月4日 |
A COMPARATIVE ANALYSIS OF TWO CREDIT MODELS——CREDITRISK\++ AND RISK RATE OF LOANS |
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| PENG Shu-jie,ZHAN Yuan-rui.A COMPARATIVE ANALYSIS OF TWO CREDIT MODELS——CREDITRISK\++ AND RISK RATE OF LOANS[J].Journal of Gansu Sciences,2002,14(1):91-95. |
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| Authors: | PENG Shu-jie ZHAN Yuan-rui |
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| Abstract: | A comparative analysis is made in detail between two credit risk models-CreditRisk++ and Risk Rate of Loans. Combined with the situation of modern finance, some useful advices are given to the method of Risk Rate of Loans so as to improve its accuracy and enhance its adaptability. |
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| Keywords: | credit risk CreditRisk++ Model Risk Rate of Loans probability generation function |
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