上市区域性股份制商业银行信用风险预警模型研究

Research into credit risk early-warning model for listed regional joint-stock commercial bank

国外信用风险分析模型主要有KMV信用监测模型、信用度量技术、CSFP信用风险附加计量模型和麦肯锡模型四种;中国学者根据中国银行业的情况,在信用风险建模方面进行了探索:一是侧重于对贷款企业的财务分析,二是侧重于商业银行有关指标的分析,三是从银行和企业两个角度进行分析。可应用时间序列的分析方法,采用ARMA模型构建信用风险预警模型。

Foreign credit risk analysis models mainly include KMV credit supervision model, credit measurement technology, CSFP credit risk supplemental calculation model and Mekinsey Model. According to the status quo of China banks, Chinese scholars should make experiments on credit risk models in the aspects of emphasizing financial analysis of loan enterprises, emphasizing relative indexes analysis of commercial banks and emphasizing credit risk from such two angles as banks and enterprises. Credit risk early--warning models can be constructed by using time series analysis method and ARMA model.