摘要
随着市场竞争日趋激烈,金融风险管理显得越来越重要。文章首先论述CreditMetrics模型的建模逻辑过程及其特点;基于风险价值(var)概念进行蒙特卡罗模拟,计算得出某商业银行信贷数据的核心参数:信用风险转移矩阵、门槛率、违约回复率以及最终的风险价值,进而利用这些参数测算出该商业银行贷款的风险等级及其分布。
Along with the increasingly market competition, financial risk management becomes more and more important. This paper described the logic diagram of Credit Metrics model and its characteristics; based on VAR method to carry on Montearlo stimulation, then outcome of the example bank＇s data is simulated： credit risk transfer matrix, reject rate, default rate and the value at risk. Finally, the risk level and its distribution of this bank＇s loan are come out.
出处
《改革与战略》
北大核心
2008年第10期81-84,共4页
Reformation & Strategy
