信用风险度量模型

然后，对本文运用的KMV信用风险度量模型进行了构建及修正。

Then we construct and modify the KMV credit risk measurement model used in this paper .

其次，在综述相关理论和现代信用风险度量模型的基础上，引入CreditMetrics模型，对我国商业银行的信用风险度量进行实证分析。

Secondly , based on the analysis of all kinds of theory and modern credit risk measurement model , the paper introduce Credit Metrics Model to go on empirical research of credit risk measurement in our country .

随后，本文利用因子分析法从初始财务指标中提取公共因子，将其引入Logistic回归分析模型之中，从而拟合出不同生命周期阶段企业的信用风险度量模型，并加以对比分析。

Then , using factor analysis method , this paper extract common factors from initial financial indicators and introduce them into the Logistic Regression Model in order to fit and compare corporate credit risk measurement models of different life cycle stages .

现行的信用风险度量模型一般将PD与LGD看作独立变量，巴塞尔委员会在新资本协议中也这样处理。

PD and LGD are generally considered as independent variable in current credit risk measurement model , which is same in the New Capital Agreement of Basel Committee on Banking Supervision .

现代信用风险度量模型中的KMV模型适合于我国的评级国情，能够测算出财务信息所透露的信用风险值。

Modern credit risk metric model suitable for our country the KMV model which puts the rating situation , can work out financial information revealed by credit risk value .

首先，本文通过分析国内外研究动态和比较现代信用风险度量模型的特点，显示出CPV模型在贷款信用风险管理中的优势，为后面的实证研究奠定基础；

At first , this paper reviews the domestic and foreign development of credit risk management in banks , especially compares the modern credit risk models , and shows the advantages of using CPV model to manage the credit risk , which provide a base for the following empirical research .

高级内部信用风险度量模型方法的比较

An analysis on the models for the measurement of credit risks

第2章关于传统信用风险度量模型的总结。

Second chapter closes to the traditional credit risk measure model summary .

第四章现代信用风险度量模型在我国商业银行应用的思考和启示，这是本文的重点。

Chapter three : The modern credit risk quantitative measurement and management models .

第五章，提出了一个基于蒙特卡罗模拟方法的信用风险度量模型。

Puts forward a method based on monte carlo simulation of credit risk measurement model .

现代信用风险度量模型在现阶段还不适用于我国中小企业。

Modern credit risk measurement model is not applicable at this stage of SME in China .

信用风险度量模型研究

Study on Credit Risk Measurement Models

第三章研究如何构建适合我国国情的创业企业信用风险度量模型。

Chapter III studies how to build the credit-risk valuation model that suites the current situation in China .

第四部分的主要内容是构建中小企业贷款信用风险度量模型并进行实证检验。

In pare four , we built a Loan credit risk evaluation model ofSMS enterprises and then tested it .

在介绍了三种国际上比较常用的信用风险度量模型的基础上，对它们加以比较分析，并提出了在我国运用的可行性及存在的问题。

Three measure models of credit risk are introduced and compared . The feasibility and existence of them in China are discussed .

因此，尽快建立起适合于中国上市公司的信用风险度量模型是势在必行。

Therefore , how to establish a credit risk measurement model which is suitable to the Chinese listed companies has been an important and pressing task .

系统地分析比较了五种常用的现代信用风险度量模型，并探讨了其在我国的适应性问题及相应对策。

Compared systematically five kind of commonly used modern credit risk measurement model , and discusses it in our country 's compatible question and the corresponding countermeasures .

为此，制定一套行之有效的信用风险度量模型和治理机制对于城市商业银行跨区域经营的持续发展意义重大。

For this reason , to set up an effective measurement model and right control mechanism of credit risk have a great significance on sustainable development of commercial banks .

基于市场价值的信用风险度量模型应用现代数理金融学理论，依托强大的数据库能够比较准确，科学的评价企业信用风险。

The credit risks models based on market value use the complicated mathematics method and the database , so it can measure enterprise 's credit risks accurately and scientific .

相对于其他信用风险度量模型来说，对市场的有效性要求不高，适用于我国违约历史数据相对缺乏的基本情况。

Relative to other credit risk measurement models , this model do not need effective of the market , is suitable for our relative lack of historical data breach the basic situation .

第三部分对目前西方较为流行的现代信用风险度量模型进行研究，并运用其中的一个模型对我国上市公司的信用状况进行了实证分析；

Part three researches on the modern credit risk measurement models that are very popular in western countries , and empirically analyzes some companies ' credit conditions by one of these models .

近20年，随着越来越多的信用风险度量模型的建立和应用，信用风险管理也开始向工程化阶段过渡。

During the past 20 years , with more and more credit risk measurement models were applied , the management of credit risk has begun its transition to Engineering Credit Risk Management .

西方发达国家的银行业已经采取了非常先进的内部信用风险度量模型，这些模型利用当前能够获得的所有信息对企业信用状况进行评估。

The western developed country banks have already formed very advanced inner models for credit risk measurement . These models take advantage of all information to analysis the credit states of enterprise .

再次就是详细阐述了四类现代信用风险度量模型，包括对四大模型的基本思想、内容、优缺点等方而进行分析。

Again this is detailed the four categories of modern credit risk measure model , including four basic ideas , content of the model , advantages , disadvantages and so on , were analyzed .

本文通过实证比较分析发现，现代信用风险度量模型对银行贷款的违约率、贷款损失和损失率的预测结果的差异性较大；

By means of empirical comparison , the paper finds that the forecast outcome of possibility of default and ratio of loss of banking loan with current credit risk measurement models is very distinct .

针对这一现状本文对国际上应用广泛的信用风险度量模型进行了梳理，并结合我国现阶段的实际情况对模型在我国的适用性进行了分析。

For this situation , this article firstly reviewed the international widely used credit risk measurement models , and then analyzed the applicability of models combined with the actual situation in our country at this stage .

本文从对比分析角度对目前比较流行的信用风险度量模型进行了比较，采用定性与定量相结合的方法，力求全面深入地对问题进行阐述和剖析。

We compare credit risk measurement models which currently are more popular using a combination of qualitative and quantitative methods from the perspective of comparative analysis , strive to elaborate comprehensively and analyze the problem in-depth .

本章回顾了信用风险度量模型的发展历史，将其分为三类：古典的信用风险分析方法、现代的信用风险量化度量模型以及由古典向现代过渡的模型。

This chapter reviews the developing history of credit risk measurement models , these models can be divided into three groups : classic credit risk analysis method , modern credit risk quantitative measurement models and transitional models .

基于创业企业所处不同生命阶段的运营模式、融资方式、所需资金的性质和规模的不同，提出了构建创业企业不同生命阶段的信用风险度量模型的思想并构建模型。

Based on the differences among the business mode , the characteristics and the size of the capital required , this chapter proposes the theory and build the valuation model of credit-risk at different stages of enterprise life cycle .

建立了企业信用风险度量模型，依据两组国内企业的应收账款及其管理状况的调查数据，对企业信用风险变化趋势及其管理现状进行了实证分析；

In this paper , the authors have established a credit risk metric model of enterprise firstly , and then based on two groups of investigation data ; the authors have conducted an empirical study of credit risk actuality , change tendencies and management actuality .