基于风险价值和期权理论的Credit Metrics模型研究

Study on Credit Metrics Model Based on VaR & Option Pricing Theory

Credit Metrics模型是国际金融界内流行的现代信用风险度量模型,它以风险价值VaR和期权定价思想为基础,以衡量信贷资产组合的风险价值为核心,用于识别贷款、债券等传统信贷产品的信用风险,开启了银行信用风险量化评估的先河,开创了现代信用风险度量研究的新领域,对中国商业银行的信用风险管理有一定的借鉴作用。

Credit Metrics model is a popular modem credit risk measurement model in the international financial circle. It is based on the VaR（Value at Risk） and option pricing theory. It measures the VaR of credit assets portfolio as its core. Credit Metrics model can be used in identifying the credit risk of traditional credit assets such as loans, bands and so on. It plays an initiating role in the measurement of credit risk of bank, starts a new field of the study on modem credit risk measurement and can be used for reference to a certain extent in the credit risk management of China commercial bank.