商业银行信用风险量化和管理模型的应用分析

Application of Modern Credit Risk Measurement and Management

介绍了国外当前应用广泛的信用风险量化和管理模型,分析了模型在我国使用上的局限性。根据企业不同时期信用等级转换概率和企业违约回收率均值构成的混沌时间序列,应用混沌时间序列理论和局域预测方法,构造中国企业信用等级转换矩阵和企业违约均值矩阵,建立了一个适合我国商业银行实际的信用风险量化和管理模型。

A model of credit quantitative measurement and management widely used in foreign countries is introduced, and its limitation which appears while the model is used in China is analyzed. According to the chaos time serials constituted by various period credit grades' transition probability of an enterprise and the average value of its ratio of callback due to breach of faith, applying the theory of the chaos time serials and the local prediction method, a credit grades' transition matrix and a matrix of the average ratio of callback due to breach of faith is established. Which is applied to Chinese enterprises. Thus, a credit risk quantitative measurement and management model which is adapted to commercial bank is established, which is important in theory and practice.