国际银行业VaR信贷风险技术发展与应用

The Development of VaR Technology and Its Application in International Banking

以VaR为基础的信贷风险模型使用金融工程方法,定量测定管理信贷风险,使得贷款等信贷资产可定价出售或证券化后转移,同时注意全部信贷资产的组合风险,充分考虑不同信贷资产具有的联动或对冲关系。信贷风险模型中,信用评级模型及信用等级转移矩阵是信贷风险度量的基础,违约和盯市等模型是信贷风险度量的主要方法,信用衍生工具等模型则直接为信贷风险管理经营服务。国际银行业非常重视,已开始将以VaR为基础的信贷风险模型作为先进信贷风险评估管理技术应用于银行业实务。

By way of financial engineering,the VaR-based credit risk model measures and manages credit risk quantitatively,so that credit assets like loans can be sold at certain prices or trans-ferred after securitization.At the same time,the model also takes into consideration the portfolio risk of all credit assets,and the interaction or offsetting relationship between different credit assets.In credit risk models,the credit rating model and credit rate migration matrix are the basis of credit risk measurement;default and mark-to-market models are the major means;while credit derivatives models directly serve credit risk management.The international banking industry has at-tached great importance to the VaR-based credit risk model,and applied it as an advanced credit risk assessment technology in banking business.