信用风险模型的分析与蒙特卡洛模拟
发布时间：2019-01-19 09:59
【摘要】：针对国内商业银行的信用风险管理薄弱的现状,本文对国际上实践运用最为广泛的四个信用风险模型CreditMetrics模型、KMV模型、CreditRisk模型和CPV模型进行了简要的理论分析。根据我国的实际情况,选择了以CreditMetrics模型和KMV模型为重点分别进行了理论分析。再建立数学模型,通过蒙特卡洛模拟的方式进行实证分析,验证了两个模型在我国运用的有效性。同时,本文对CreditMetrics模型和KMV模型进行了部分修正,在计算CreditMetrics模型贷款远期价值的过程中加入了对贷款信用级别转移路径的模拟,相比之前的模型,修正后的模型可以得到贷款组合风险价值的连续性分布,实现了对贷款组合风险价值更为准确的估量。在KMV模型中利用企业的预期违约距离代替预期违约率来度量企业的信用风险,尝试以企业预期违约距离变化率来分辨ST公司和非ST公司。 本文最后从我国商业银行信用风险现状出发,系统地对四大信用风险管理模型进行比较分析,分别阐述各模型的思路、假设、优缺点及各方面比较,探讨了这些模型在我国商业银行信用风险管理应用中的必要性和可行性。
[Abstract]:In view of the weakness of credit risk management in domestic commercial banks, this paper makes a brief theoretical analysis of four credit risk models, CreditMetrics model, KMV model, CreditRisk model and CPV model, which are widely used in international practice. According to the actual situation of our country, we choose CreditMetrics model and KMV model as the emphasis of theoretical analysis. Then the mathematical model is established, and the validity of the two models is verified by Monte Carlo simulation. At the same time, the CreditMetrics model and the KMV model are partly modified in this paper. In the process of calculating the forward value of the loan in the CreditMetrics model, the credit level transfer path of the loan is simulated, compared with the previous model. The modified model can obtain the continuous distribution of the risk value of the loan portfolio and realize a more accurate estimation of the risk value of the loan portfolio. In the KMV model, the expected default distance is used instead of the expected default rate to measure the credit risk of the enterprise. The paper tries to distinguish the ST company from the non-ST company by the change rate of the expected default distance. Finally, starting from the current situation of credit risk of commercial banks in China, this paper makes a comparative analysis of the four credit risk management models, and expounds the ideas, assumptions, advantages and disadvantages of each model, as well as the comparison of various aspects, respectively. This paper discusses the necessity and feasibility of these models in the application of credit risk management of commercial banks in China.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224
本文编号：2411262
[Abstract]:In view of the weakness of credit risk management in domestic commercial banks, this paper makes a brief theoretical analysis of four credit risk models, CreditMetrics model, KMV model, CreditRisk model and CPV model, which are widely used in international practice. According to the actual situation of our country, we choose CreditMetrics model and KMV model as the emphasis of theoretical analysis. Then the mathematical model is established, and the validity of the two models is verified by Monte Carlo simulation. At the same time, the CreditMetrics model and the KMV model are partly modified in this paper. In the process of calculating the forward value of the loan in the CreditMetrics model, the credit level transfer path of the loan is simulated, compared with the previous model. The modified model can obtain the continuous distribution of the risk value of the loan portfolio and realize a more accurate estimation of the risk value of the loan portfolio. In the KMV model, the expected default distance is used instead of the expected default rate to measure the credit risk of the enterprise. The paper tries to distinguish the ST company from the non-ST company by the change rate of the expected default distance. Finally, starting from the current situation of credit risk of commercial banks in China, this paper makes a comparative analysis of the four credit risk management models, and expounds the ideas, assumptions, advantages and disadvantages of each model, as well as the comparison of various aspects, respectively. This paper discusses the necessity and feasibility of these models in the application of credit risk management of commercial banks in China.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224
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