计量技术在信用风险管理中的应用——兼论我国商业银行引进和运用计量技术中存在的问题及建议

The Application of Measurement Technology in Credit Risk Management——Problems in the Introduction and Utilization of Measurement Technology in Commercial Banks and Corresponding Suggestions

计量技术在商业银行信用风险识别、度量、分析、防范等诸多方面发挥着日益显著的作用。本文在阐述现代信用风险计量技术的核心思想——VAR方法的基础上,系统比较了CreditMetrics模型、KMV模型、CreditRisk+模型和CPV模型4种信用风险计量模型。与国外银行相比,中国银行业受数据不足、引进技术消化吸收能力不足、体制不完善和人员素质有待提高等问题的影响,在风险管理方法中量化技术使用能力存在显著差距。作者提出中国银行业应尽快完善基础数据库,引进适宜的风险量化技术,加强对相关技术人才的培养,并努力创造良好的制度环境。

Measurement technology plays an increasingly important role in commercial banks identifying, evaluating, analyzing and taking precautions against credit risks. The paper first expounds VAR approach, the core idea of modern credit risk measurement technology, and systematically contrasts four main credit risk measurement models CreditMetrics model, KMV model, CreditRisk＋ model and CPV model. Chinese banking apparently lags behind foreign banks in the application of measurement technology in credit risk management, due to insufficient industrious data, poor assimilation of the introduced technology, unsound mechanism and lack of talent persons. The paper proposes that Chinese banking should improve the database as soon as possible, introduce feasible credit risk technology, strengthen the cultivation of relevant talents and attempt to create a sound system environment.