摘要
商业银行信贷风险管理的发展是从最初的对单笔贷款管理到把全部贷款看成一个组合加以管理,这是因为组合可以使得风险分散化。现代组合管理的理论(MPT)基础是从Harry Markowitz的分散化理论开始的,然而标准的组合模型应用在贷款组合时会存在诸多的问题。有效的信贷模型应满足建立信贷风险模型等方面的要求。
Commercial banks＇ credit risk management develops from early management of granting single loan to regarding loans as credit portfolio. This can make the risks dispersed. MPF proceeds with Harry Markowitz＇ theory of diversion. However, there still exist many problerms in the standard credit portfolio model. This requires to impove the model to meet the demand of credit Portfolio management.
出处
《商业研究》
北大核心
2005年第19期140-144,共5页
Commercial Research
关键词
商业银行
信贷组合
管理
模型构建
commercial bank
credit portfolio
management
modelling
