摘要
CreditMetrics模型中,组合资产信用资质变化相关性分析最为复杂,也是信用组合模型中争议最多的因素.从企业风险是产生信贷风险的根本原因,银行是企业风险的最终承担者这一角度出发,利用结构化蒙特卡洛方法计算出了信用风险因素下与企业破产率有关的银行贷款收益.从而模拟各个企业不同破产率时的贷款收益,确定出了组合贷款之间的相关性,最终结合CreditMetrics模型建立了银行贷款配给模型.
In the CreditMetrics model, the analysis ot correlation atbout the credit quality fluctuation or portfolio is a very complicated and controvertible factor. The enterprise risk is the basic reason that leads to credit risk and the bank is the final undertaker of the credit risk. Upon this view, this paper calculates the expected rate of the loan that is related to the enterprise bankruption rate by using the Structured Monte Carlo Approach. Then, we simulate the return of the loan in different enterprise bankruption rate and ascertain the correlation of the loan. Furthermore, we establish the loan allocation model by combining CreditMetrics model.
出处
《西南民族大学学报（自然科学版）》
CAS
2005年第5期789-792,共4页
Journal of Southwest Minzu University(Natural Science Edition)
