客户信用评级体系的校准度检验研究

Validation of the Calibration of Obligor Credit Rating Systems

利用多种统计量对客户信用评级体系进行校准度检验,以对其准确性做出定量评估。同时,使用这些统计量对由两种不同方法构造的信用评级进行了实证对比检验,结果表明,校准度检验能够对客户信用评级的准确性做出有效评估。

It is important for banks that the Obligor credit rating system is representative and accuracy in credit management, loan pricing and capital charging. This paper uses several statistics to validate the representative and accuracy of rating systems, meanwhile, based on two rating systems with different methods this paper carries out a calibration test, the empirical resultshows these statistics can provide valued evaluation on representative and accuracy of rating systems.