【摘要】 在对新巴塞尔协议的IRB方法研究的基础上,提出了比该方法更一般的度量信用风险的模型.在建模过程中,考虑了同类贷款组间的相关性和宏观经济因素对抵押贷款回收率的影响.最后,应用该模型对有担保的中小企业的贷款组合进行了信用风险度量.更多还原

【Abstract】 The more common credit risk model than the Internal Rate Approach in New Basel Agreement is proposed in this paper. The correlation between homogeneous loan portfolio and the effect of macroeconomic conditions on recovery rate of secured loan are taken into account in the model.Finally,credit risk measurment is applied for secured loan portfolio in small or middle enterprises.更多还原