Oneness of Modern Credit Risk Models

王毅春; 孙林岩

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Oneness of Modern Credit Risk Models

更新时间：2025-12-08

- Oneness of Modern Credit Risk Models
- Vol. 41, Issue 1, Pages: 110-113(2007)
- 作者机构：
  
  西安交通大学管理学院,西安,710049
- 作者简介：
- 基金信息：
- DOI：
  CLC： F270
- Online First：10 January 2007，
  
  Published：2007
- 稿件说明：
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王毅春, 孙林岩. Oneness of Modern Credit Risk Models[J]. 2007, 41(1): 110-113.
DOI：

王毅春, 孙林岩. Oneness of Modern Credit Risk Models[J]. 2007, 41(1): 110-113. DOI：

摘要

从概念背景、建模基础及数学表达方式上对现今国际上信用风险管理实践中应用最为广泛的KMV、CreditMetrics、CreditRisk

、Portfolio View模型进行了比较研究

发现其不仅有相同的概念背景——Black-scholes的定价理论和相同的模型构建基础——Merton定价模型

而且还可以用统一的Bernoulli混合模型来表示

即各个模型均遵循由独立Bernoulli随机变量构成的违约分布

表明了现代风险模型的内在统一性.因此

这一特性对中国的商业银行构建信用风险模型具有指导意义.

Abstract

Based on the concept background

modeling basis and mathematical formation

a systematic comparision among KMV

CreditMetrics

CreditRisk

and PortfolioView is carried out

which are the worldwide models for credit risk management. It is found that the mentioned models are endowed with the same concept background of the pricing theory of Black-scholes and the structural foundation of Meton's pricing model

they even can be described by the unified Bernoulli mixed model

and each of the models is compatible with the distribution composed of the Bernoulli random variables.The intrinsic uniformity provides a guidance to construct for the credit risk model of Chinese business bank.

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references

约翰•赫尔. 期权、期货和其它衍生产品[M]. 张陶伟,译.北京: 华夏出版社, 2000:188-357.

迪迪埃•科森,于格•皮罗特. 高级信用风险分析[M].殷剑峰,王唯翔,程炼,等译. 北京:机械工业出版社,2005:16-22.

Meissner G, Nielsen K. Recent advances in credit risk management: a comparison of five models[J]. Trading Regulation, 2002,8(1):76-93.

Gordy M B. A comparative anatomy of credit risk models[J]. Journal of Banking Finance, 2000( 24): 119-149.

Crouhy M, Galai D, Mark R. A comparative analysis of current credit risk models[J]. Journal of Banking Finance, 2000(24): 59-117.

Frey R, McNeil A J. Var and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights[J]. Journal of Banking Finance, 2002(26): 1317-1334.

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