摘要
对信用评级体系的验证已成为银行风险管理面临的重要挑战之一。参照新巴塞尔资本协议的要求,除对信用评级体系进行了违约预测力和违约拟合度统计检验外,还突出了样本分布稳定性的定量验证分析。同时,基于我国上市公司资料建立信用评级体系进行了应用研究,结果显示,所建立的信用评级体系具有较高的违约预测力、违约拟合度和样本稳定性。
Validation on credit rating system is one of the most important challenges the banking faced. According to the requirement of New Basel Accord, this paper makes a quantitative validation research on credit rating system from prediction ability, fitness of default and stability. Thereafter, by ordinal transformation makes a model of credit rating, and then takes a back testing with China listed companies＇ data, the result shows that the credit rating system has higher prediction ability, fitness of default and stability.
出处
《经济问题》
CSSCI
北大核心
2009年第1期17-21,共5页
On Economic Problems
基金
中国博士后科学基金项目(20080430247)
