摘要
本文对现今国际上信用风险管理实践中应用最为广泛的KMV,GrcditMetrics,CreditRisk+,CreditPort folioView四个模型进行了比较,从反映原理概念,结构角度研究了各模型的特征,介绍了实证效果,以期为我国商业银行信用风险模型的构建提供借鉴与参考。
In this paper comparisons are made between the four credit-risk models (KMV, CreditMetrics, CreditRisk and CreditProfolio View) widely used in international credit risk management. Focusing on the respective principle, concept and structure, this paper studies the characters of each model and then gives the empirical result in the hope of coming up with references for the construction of the credit risk models of our commercial banks.
出处
《当代经济科学》
CSSCI
北大核心
2004年第2期60-63,共4页
Modern Economic Science
