信用建模引路和综述性文章：A comparative analysis of current credit risk models

如果说金融衍生产品在中国的应用还有时日，但信用建模和应用已经在各大商业银行和国有银行有相当大的需求，信用模型与期权真是异曲同工，决定或者准备进入这个领域的同仁首先看一篇引路综述可以避免误区，推荐 A comparative analysis of current credit risk models. 全文59页。虽然不是印刷书，但已经相当于一本信用建模导论类似的专著了。作者从Merton理论开始，向读者介绍了目前学界和应用领域的主要信用模型及其比较。要6分钱，表示贴主搜索和介绍之劳苦。

Abstract: The new BIS 1998 capital requirements for market risks allows banks to use internal models to assess regulatory capital related to both general market risk and credit risk for their trading book. This paper reviews the current proposed industry sponsored Credit Value-at-Risk methodologies. First, the credit migration approach, as proposed by JP Morgan with CreditMetrics, is based on the probability of moving from one credit quality to another, including default, within a given time horizon. Second, the option pricing, or structural approach, as initiated by KMV and which is based on the asset value model originally proposed by Merton (Merton, R., 1974. Journal of Finance 28, 449--470). In this model the default process is endogenous, and relates to the capital structure of the firm. Default occurs when the value of the firm's assets falls below some critical level. Third, the actuarial approach as proposed by Credit Suisse Financial Products (CSFP) with CreditRisk+ and which only focuses on default. Default for individual bonds or loans is assumed to follow an exogenous Poisson process. Finally, McKinsey proposes CreditPortfolioView which is a discrete time multi-period model where default probabilities are conditional on the macro-variables like unemployment, the level of interest rates, the growth rate in the economy, . . . which to a large extent drive the credit cycle in the economy.

Contents

1 Introduction

2 CreditMetrics and CreditVaR

3 KMV Model

4 CreditRisk Model

5 CreditPortofolioView