EDF模型在中国商业银行信用风险管理中的应用

The Application of EDF Model in Credit Risk Management of Chinese Commercial Banks

由于我国违约数据库的缺乏,我国经验EDF函数还没有建立,这极大地制约了EDF模型在我国商业银行信用风险管理中的应用。本文在我国EDF模型现有实证研究成果的基础上,选取我国上市公司2003～2006年的相关数据,尝试建立我国经验EDF函数,并用试点试验(PilotTest)方法对EDF模型的预测能力和稳定性进行检验。实证结果表明EDF模型能够在上市公司违约前1～2年预测出其信用质量的下降,同时EDF模型对公司信用风险度量具有很好的稳定性。结果表明,将EDF模型应用于我国商业银行信用风险管理是可行的。

Chinese EDF experiential function has not been founded for the lack of default database. This situation greatly restricts the application of EDF model in credit risk management of Chinese commercial banks. On the basis of current empirical researches of EDF model, by selecting related data of firms listed in Chinese stock markets from 2003 to 2006, the authors try to establish Chi- nese EDF experiential function and test its predictive ability and stability with the pilot test. Empirical result shows that EDF model can predict the deterioration in credit quality of firms one or two years before they default and it has good stability in measuring the credit risks of public companies. The result also indicates that it is feasible to apply EDF model in the credit risk management of Chinese commercial banks.