学术
摘 要:
从概念背景、建模基础及数学表达方式上对现今国际上信用风险管理实践中应用最为广泛的KMV、CreditMetrics、CreditRisk^＋、PortfolioView模型进行了比较研究，发现其不仅有相同的概念背景——Black-scholes的定价理论和相同的模型构建基础——Merton定价模型，而且还可以用统一的Bernoulli混合模型来表示，即各个模型均遵循由独立Bernoulli随机变量构成的违约分布，表明了现代风险模型的内在统一性．因此，这一特性对中国的商业银行构建信用风险模型具有指导意义．[著者文摘]
文章出处:
《西安交通大学学报》-2007年41卷1期 -110-113页
栏目信息:
分 类 号:
文献标识码:
A
文章编号:
0253-987X（2007）01-0110-04
Oneness of Modern Credit Risk Models
Wang Yichun, Sun Linyan （School of Management, Xi＇an Jiaotong University, Xi＇an 710049, China）
Abstract:
Based on the concept background, modeling basis and mathematical formation, a systematic comparision among KMV, CreditMetrics, CreditRisk^＋ and PortfolioView is carried out, which are the worldwide models for credit risk management. It is found that the mentioned mod- els are endowed with the same concept background of the pricing theory of Black-scholes and the structural foundation of Meton＇s pricing model, they even can be described by the unified Bernoulli mixed model, and each of the models is compatible with the distribution composed of the Bernoulli random variables. The intrinsic uniformity provides a guidance to construct for the credit risk model of Chinese business bank.[著者文摘]
Key words:
credit risk; models; oneness
基金资助:
国家自然科学基金资助项目（7043303）.
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