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