Credit Monitor模型与CreditMetrics模型的比较及应用

Credit Monitor模型是KMV公司开发出的一种测度企业违约概率的方法。在实际应用中由于能在企业违约前通过违约概率的变化,迅速显示出企业信用状况的变化,因而得到业界的广泛关注。CreditMetrics模型建立在信用评级的基础之上,在度量组合信用风险具有明显的比较优势。本文在借鉴CreditMonitor模型和CreditMetrics模型,提出一种测度我国企业信用风险相关性的方法。

Credit Monitor model of KMV is a measure of corporate defualt probalility method. In practical applications,as the changes of the probality of default before corporate defauts can indicate the changes in corporate credit conditions,it has received broad concern. Credit Mterics model is built on the basis of credit ratings,which has a clear comparative advantage in the measure of portfolio credit risk. In this paper,with the reference of CreditMonitor model and CreditMetrics model,the authors proposed a measure of China＇ s corporate credit risk -related approaches.