信用风险组合管理模型中的相关性问题研究述评

Research on the Correlation Problem of the Portfolio Models for Credit Risk

信用风险是我国银行业面临的主要风险之一,基于组合管理思想的信用风险管理已经成为世界各国的共同选择。组合信用风险管理中的2个关键问题是风险的度量指标选择和相关性问题的处理,文章系统分析了其中的相关性处理问题,梳理了现代信用风险度量模型中对违约相关性问题的不同处理方法,分析了这些传统相关系数处理方法的不足之处,阐明了COPULA是信用风险组合管理模型的研究发展方向,以期为我国银行业的信用风险管理提供借鉴和参考。

Credit risk is one of the major risks confronting the banking sector in China, while credit risk management based on the portfolio theory has become a common choice worldwide. Two key problems in this theory include portfolio credit risk quantification and the treatment of correlation problem. This paper analyses the latter one systematically and scrutinizes different treatment methods of correlation problems in different risk quantification models. It expounds the deficiencies of these models and points out that COPULA is the research trend of credit risk management models, while providing useful reference of credit risk management of the banking sector in China.