CreditMetrics模型中转移概率和风险价值的计算

上海大学学报(自然科学版)

CreditMetrics模型中转移概率和风险价值的计算

汪文渊，谢潇衡，何幼桦

上海大学理学院，上海 200444

收稿日期:2007-01-17 修回日期:1900-01-01 出版日期:2008-04-30 发布日期:2008-04-30
通讯作者: 何幼桦

Computation for Transition Matrix and VaR in CreditMetrics Model

WANG Wen-yuan, XIE Xiao-heng, HE You-hua

College of Sciences, Shanghai University, Shanghai 200444, China

Received:2007-01-17 Revised:1900-01-01 Online:2008-04-30 Published:2008-04-30

摘要/Abstract

摘要： CreditMetrics模型是量化信用风险的管理模型,信用矩阵转移概率的确定是该模型的核心问题之一.该文提出一种信用矩阵转移概率的估计方法,采用随机模拟的数据进行验证, 并通过误差分析确定较为合适的样本容量.同时改进原有模型中对贷款现金流的计算方法，即一类客户在n年内信用等级的各种转移情况下的贷款现金流折算.最后采用核估计方法计算贷款风险值VaR,并与原有模型的计算结果进行比对.根据比对结果，可以证明此方法是行之有效的.

关键词: CreditMetrics模型, 风险值VaR, 随机模拟法, 信用风险

Abstract: The CreditMetrics model is a quantified credit risk management model. The determination of credit transition probability matrix is a key problem for this model. This paper presents a method validated by stochastic simulation for estimating credit transition probability matrix, and determines appropriate sample size by error analysis. It improves the loan cash flow calculation in the original model that is all possible transition situations within n years for a given type of loan customers to be considered for the load cash flow conversion. Finally we calculate the loan value at risk (VaR) with a kernel estimate method, and compare with that of the original model. The result shows the effectiveness of our method.

Key words: credit risk, CreditMetrics model, stochastic simulation, value at risk (VaR)

中图分类号:

O212.7

汪文渊;谢潇衡;何幼桦. CreditMetrics模型中转移概率和风险价值的计算[J]. 上海大学学报(自然科学版).

WANG Wen-yuan;XIE Xiao-heng;HE You-hua. Computation for Transition Matrix and VaR in CreditMetrics Model[J]. Journal of Shanghai University（Natural Science Edition）.