摘要
本文回顾和介评了 2 0年来特别是近年来信用风险评价方法及模型进展 ,包括传统的主观分析法、信用评分系统、期限结构模型、死亡率模型、 RAROC模型以及新近推出的所谓内部模型如 Credit- VAR、Ceadit Risk+等。最后 。
This paper traces developments in the credit risk mea surement literature over the last 20 yearsEssentially,the author reviews the main current credit risk measurement models,egexpert system,credit scoring system,term structure model,mortality model,RAROC model,and CreditMetrics,CreditRisk+,CreditPortfolio View,KmV etcAlso,the author discusses the Suitableness of new models applying in credit risk measuring in credit cooperatives in rural China
出处
《中国地质大学学报（社会科学版）》
2001年第3期27-33,共7页
Journal of China University of Geosciences(Social Sciences Edition)
基金
国家自然科学基金资助项目(7990 0 0 8)
关键词
信用风险
违约风险
风险测度
金融机构
信用社
credit risk
default risk
risk measurement
financial institutions
credit cooperatives
