| Credit Metrics模型计算信用风险的实例分析 |
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| 引用本文： | 易云辉,尹波. Credit Metrics模型计算信用风险的实例分析[J]. 江西科技师范学院学报, 2005, 0(4): 44-48 |
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| 作者姓名： | 易云辉 尹波 |
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| 作者单位： | 江西科技师范学院,江西,南昌,330013 |
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| 摘 要： | Credit Metrics为计算资产组合信用风险的模型，是一个联系信用和证券市场的简单、动态的架构。本文从此模型出发，分别讨论了单个贷款和资产组合基于违约率，信用迁移概率的计算原理和实例。并对违约率的测算作了进一步的分析和讨论。
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| 关 键 词： | Credit Metrics模型 信用风险 VAR |
| 文章编号： | 1007-3558(2005)04-0044-04 |
| 修稿时间： | 2005-01-20 |
An Analysis of the Cases of Credit Risk Calculation by Using Credit Metrics Model |
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| Yi Yunhui,Yin Bo. An Analysis of the Cases of Credit Risk Calculation by Using Credit Metrics Model[J]. Journal of Jiangxi Science & Technology Normal University, 2005, 0(4): 44-48 |
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| Authors: | Yi Yunhui Yin Bo |
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| Abstract: | Credit Metrics,a model of credit risk calculation,is a simple and dynamic frame,which connects the credit market with bond market.The paper discusses and analyzes the methods and cases of VAR calculation and the default rate. |
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| Keywords: | Credit Metrics model credit risk VAR |
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