西方商业银行信用风险的度量

中文字数:2461,中文页数:3 英文字数:1820页数:4

 商业银行信用管理的主要模型和方法包括传统的信用风险度量方法和基于VAR的现代信用风险度量模型。其中，传统的信用风险度量方法又包括专家系统模型法、信用评分法和神经网络模型，而基于VAR的现代信用风险度量模型又包括KMV模型、Credit Metrics模型和CSFP信用风险附加模型。
 专家系统模型法是在20年前，金融机构主要依赖主观分析或定性分析方法衡量企业贷款的信用风险，这种方法称为专家系统模型。如经典的“6C法”—由有关专家根据借款人的品德(character)、能力(capacity)、资本(capital)、抵押品(collateral)、经营环境(condition)和事业的连续性(Continuity)等六个因素评定其信用程度和综合还款能力，决定是否最终发放贷款。经典的信用分析存在着一些缺陷，主要表现在:①人的因素所带来的风险。②伴随着严重的官僚主义作风。
 信用评分法是将反映借款人经济状况或影响借款人信用状况的若干指标(如借款企业的财务比率)赋予一定权重，通过某些特定方法得到反映信用状况的信用综合分值或违约概率值，并将其与基准值相比来决定是否给予贷款发放以及贷款定价。Z值模型由Altman于1968年提出，采用五个财务指标(这5个财务指标是:Xl=营运资本/总资产，X2=留存收益/总资产，X3=EBIT/总资产，X4=权益市场值/债务的账面值，X5=销售收入/总资产)进行加权计算，对借款企业实施信用评分，并将总分与临界值比较，区分破产公司和非破产公司，对于破产企业将不发放贷款。1977年，Altman、Hardeman和Nahayana对原始的Z值模型进行了扩展建立了分类准确度较高的ZETA模型。1995年，对于非上市公司，Altman对Z值模型进行了修改，得到了Z'计值模型。目前，这类模型的主要缺陷是缺乏必要的历史纪录材料。

 Commercial bank main model and method including tradition credit risks, credit of management measure method and based on VAR modern credit risks measure model. Among them, traditional credit risks measure method include expert system camphor tree law , credit point system and neural network model, and based on VAR modern credit risks measure model include KMV model , surtax model , model of Credit-Metrics and credit risks of CSFP.
  Expert system model law before one year, financial institution is it analyze or determine the nature analytical method not to weigh credit risks, enterprise of loan subjectively to rely on mainly, this kind of method is called the expert system models. Such as classical " 6C law " - By the morality about expert's foundation debtor (character), ability (capacity), capital (capital), pledge (collateral ) , management environment (condition ) and continuity (Continuity ) of undertaking six factor evaluate creditworthiness and comprehensive refund ability their, determine whether to grant the loan finally or not. Whether classical credit is it stores some defects in to analyze, mainly showing in the following aspects. ①Risk that the human factor brings. ②Following the serious bureaucratic style of work.
Credit point system to reflect debtor economic situation or influence debtor several

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