现代信用风险计量模型比较研究

A Comparative Analysis of Current Credit Risk Models

现代信用风险计量模型是银行信用风险量化管理和动态管理的主要工具,通过从模型的假设、分布特征、函数形式和组合损失的计量方面比较四个有代表性的现代信用风险计量模型,论证各模型的应用局限性和在我国应用的可行性,从而得出结论:现阶段相比于其他模型,CreditRisk+更具有可用性。

Current credit risk models are the key tools of quantity management and dynamic management of bank credit risks. In this pa- per the author compares four current representative credit risk models, analyzes respectively their application limitations and practicability in our country from the aspects of model hypothesis, distribution characteristic, function form and portfolio loss calculation ways. Then the author comes to the conclusion： the CreditRisk ＋ model is the most practical at present.