信用建模和模型引路性综述：A comparative analysis of current credit risk models

by Michel Crouhy of the Canadian Imperial Bank of Commerce, Dan Galai of the Hebrew University, and Robert Mark of the Canadian Imperial Bank of Commerce

published in Journal of Bank and Finance

信用建模和期权竟然是异曲同工。本文对进入银行工作的金融工程学子是一个导引。请看 A comparative analysis of current credit risk models作者对现行主要信用模型进行了介绍和评述，虽然不是印刷书籍，但全文理当为信用建模的导论。如果说期权等金融衍生物还距离我们较远，信用建模已经是各大商业银行和国有银行关注的焦点。例如ICBC在3年前就开展风险转移矩阵的度量和建模。共59页，不多不少。太厚了没法看，太薄了不过瘾。作者是银行工作者，应该具有相当的实践背景，以免学了没有用处。

按照斑竹要求本文收费12.7分，否则就被删贴 但自以为太贵了，因此收6分钱

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. CreditPottfolioView

[此贴子已经被作者于2005-9-15 1:56:10编辑过]