信用风险度量方法与建模研究

实证分析表明,现代信用风险度量模型对我国银行贷款组合信用风险度量有一定的效果,大多数测算的结果大于实际值,不同模型预测结果相差也较大,而且不能对单笔贷款的损失进行有效预测.在深入研究企业违约本质的基础上,建立了一个解析式的新模型,实证检验和范式比较分析说明了新模型预测的效果要明显优于西方国家开发的模型,并且不需要大量的历史信贷统计数据,更适合于缺乏长期历史信贷数据的我国商业银行,也完全满足高级内部评级法的要求,显示出强大的优越性.

Credit risk measurement methods and modeling analysis

Empirical analysis demonstrates it is effective to a certain degree for current credit measurement models to forecast credit loss of banking loans in China,and most forecast outcomes are more than actual value,but the outcomes are very distinct with different models,and they can not effectively forecast credit risk loss of single loan.Based on further research on enterprises default essence, the paper establishes an analytic model.Empirical analysis and mode comparative analysis demonstrate the model is obviously superior to other models developed by the west countries.The model does not need lots of historical credit data,which has better applicability to Chinese business banks that lack long-term credit data,and the model fully satisfies the requirement of the advanced inner rating approach,which reveals its strong superiority.