摘要
本文提出了以市场波动性为基础的信用风险的一个动态量度框架。首先，通过把市场运动对信用暴露的影响量化，使得在信用风险的量度中融合了市场风险的因素，具有了动态的特征；其次，采用广义违约的概念，通过对基于历史数据的累计违约概率表进行拟合，得到了具有长期稳态的转移矩阵，由此得到的违约概率也具有动态属性；再次，根据有关金融产品优先级的历史数据，可以估计得到回收率；最后，把三者结合，得到了信用风险（信用损失）的动态量度，并对该量度框架的实际应用进行了探讨。
This paper gives a dynamic measurement fremework of credit risks which is based on the volatility of market. First. it realizes the dynamic feature by measuring the influence of market movement to credit exposure quantitatively. Then, a dynamic default probability is obtained by means of the concept of generalized default and transfer matrix. Whereafter, an updating recover rate can be estimated according to the history data about the priority of financial products. Finally, the three factors are combined together to complete the dynamic measurement of credit risks. The application of this framework is also being discussed at last.
出处
《南开管理评论》
CSSCI
2000年第1期36-41,共6页
Nankai Business Review
基金
国家自然科学基金!79713007
关键词
信用风险
风险等值暴露
违约概率
信用评级
Credit Risks
Risk Equivalency Exposure (REE)
Default Probability, Credit Rating, Transfer Matrix, Recover Rate
