信用组合风险模型的构建及其应用

Design and application of credit portfolio model

为了使当前流行的各种信用风险模型具有更高的相容性,在系统风险因素和非系统风险因素区别的基础上,建立了一个简单的信用组合风险模型。同时引进边际风险的概念,将边际风险贡献与信用组合风险管理进行了有机的结合。最后对CreditMetrics模型进行了深入剖析,得出该模型仅是信用组合风险模型的一个特例的结论。

In order to make popular Credit Risk models more compatibility,we expect to set up a general credit portfolio modeling,which is a basis of system risk factors and non-system risk factors.Meanwhile,the paper introduces the conception of marginal risk and combines marginal risk contribution with credit portfolio risk management.At last,'Credit Metrics' as a special case is analyzed in depth,and the paper applies to a simple factor model.