摘要
文章从分析当前次贷危机的根源出发,在综述现有信用风险计量预警模型的基础上,针对其在我国的适应及局限性问题,根据风险相关性原理和多米诺骨牌理论,提出从企业关联关系(Correlation)和信贷行为(Behavior)角度建立一种全新的信用风险预警模型(简称C&B模型),并应用国内某商业银行的数据进行实证研究。结果表明,在我国商业银行中应用C&B模型,思路可行,数据易得,预警有效。
Based on the analysis of the root of the current sub-prime loan crisis and the overview on the credit risk models, the paper builds up a new credit risk early-warning model from the angles of the correlation and credit behavior of enterprises （thus abbreviated as C＆B Model） under risk Domino theory. And then it makes an empirical study by employing the true data of a certain commercial bank in China. The results show the feasibility and effec- tiveness of the methodology of C＆B Model.
出处
《财经研究》
CSSCI
北大核心
2009年第7期13-27,共15页
Journal of Finance and Economics
关键词
关联关系
信用风险
预警模型
实证研究
correlation
credit risk
early-warning model
empirical study
