对当代信用风险度量技术序列模型的对比与评价

A Comparison and Assessment on Modern Models of Credit Risk Measurement

信用风险是银行等金融机构所面临的主要风险,信用风险管理则作为金融界及其监管机构的重点工作,且在长期管理实践中形成了一系列专门的度量技术模型。其中,在国际上比较著名,在信用风险管理实践中广泛应用的包括KMV、Credit Metrics、Credit Portfolio View和Credit Risk+等四个模型。由于从理论基础、构建思想、模型假设和计量框架等方面均有相似和不同之处,因此在实际运用中,不仅要体现风险管理的针对性,而且要满足风险度量的可行性,也是风险量化的技术标准与制度标准相结合原则的要求。

Credit risk is the main risk that financial institutes such as banks face. As the main task of national financial sectors and the regulatory agencies, credit risk management has been formed a se-ries of special models of measurement in a long term practice. For example, KMV, Credit Metrics, Credit Portfolio View and Credit Risk＋ are taken as representatives, which are internationally well known and commonly applied in the credit and risk management. Because of the similarities and diffe ences in the aspects of theoretical basis, concepts construction, model assumption and measuring ar chitecture, these models need to not only reflect the target of risk management, but also satisfy the feasibility of risk measurement, which is the requirement of the principle combining technical stand ards and system standards of risk quantification.