摘要
CreditMetrics模型是量化信用风险的管理模型,信用矩阵转移概率的确定是该模型的核心问题之一.该文提出一种信用矩阵转移概率的估计方法,采用随机模拟的数据进行验证,并通过误差分析确定较为合适的样本容量.同时改进原有模型中对贷款现金流的计算方法,即一类客户在n年内信用等级的各种转移情况下的贷款现金流折算.最后采用核估计方法计算贷款风险值VaR,并与原有模型的计算结果进行比对.根据比对结果,可以证明此方法是行之有效的.
The CreditMetrics model is a quantified credit risk management model. The determination of credit transition probability matrix is a key problem for this model. This paper presents a method validated by stochastic simulation for estimating credit transition probability matrix, and determines appropriate sample size by error analysis. It improves the loan cash flow calculation in the original model that is all possible transition situations within n years for a given type of loan customers to be considered for the load cash flow conversion. Finally we calculate the loan value at risk （VaR） with a kernel estimate method, and compare with that of the original model. The result shows the effectiveness of our method.
出处
《上海大学学报（自然科学版）》
CAS
CSCD
北大核心
2008年第2期142-147,共6页
Journal of Shanghai University:Natural Science Edition
基金
国家自然科学基金资助项目(60773081)
