摘要
CreditMetrics作为计算资产组合信用风险的模型,是一个联系信用和证券市场的简单、动态的架构。本文从此模型出发,分别讨论了单个贷款和资产组合基于违约率,信用迁移概率的计算原理和实例,并对违约率的测算作了进一步的分析和讨论。
Credit Metrics, a model of credit risk calculation, is a simple and dynamic frame, which connects the credit market with bond market. The paper discusses and analyzes the methods and eases of VAR calculation and the default rate.
出处
《江西科技师范学院学报》
2005年第4期44-47,40,共5页
Journal of Nanchang Vocational & Technical Techers' College
