摘要
重点介绍了两个具有代表性的现代信用风险度量模型(CreditMetrics模型和KMV模型)的基本思想,并进行了模型分析,同时探讨了现代信用风险度量模型在我国商业银行应用的制约因素,就如何提高我国商业银行信用风险量化分析和管理技术提出了一些设想和建议。
This paper emphatically introduces the basic thoughts of two typical modern credit risk measure models, CreditMetrics Model and KMV Model, makes the analysis on these models, and probes into some factors restricting the application of the modem credit risk measure models in our country＇s commercial banks, and puts forward some assumptions and suggestions on how to improve the quantitative analysis and management techniques for the credit risks of our country＇ s commercial banks.
出处
《科技情报开发与经济》
2007年第28期151-153,共3页
Sci-Tech Information Development & Economy
