【作者】 张国兴； 刘鹏； 汪应洛； 郭菊娥；

【Author】 ZHANG Guoxing~(1,2),LIU Peng~2,WANG Yingluo~1,GUO Ju’e~1 (1.School of Management,Xi’an Jiaotong University,Xi’an 710049,China;2.School of Management,Lanzhou University,Lanzhou 730000,China)

【机构】 西安交通大学 管理学院； 兰州大学 管理学院；

【摘要】 信用风险管理是银行风险管理的核心工作之一,集中违约可能会使得银行面临破产风险.假定银行开展业务和违约速度上升同时发生,基于冲击模型从个体违约时间间隔的角度构建了一种新的银行集中信用违约预警模型.银行开展业务时,先确定一个合理的预警域,当违约的时间间隔小于预警域时,银行就采取相应的风险防范措施;相反,当违约的时间间隔大于预警域时,银行就继续开展该业务.在其它参数不变的条件下,违约速度上升的越大,真实生存函数与历史生存函数之间的差值也就越大,银行也就能够更及时地预警集中信用违约.最后,通过算例发现该模型可以很好地在随机时刻发生违约速度上升的情况下对集中信用违约进行预警.更多还原

【Abstract】 Managing credit risk is one of the core works for bank and the concentrated defaults may result in bankrupt.Assume that the speed of default increases at the time when the bank’s business starts,based on the shock model,an early warning model on the concentrated defaults is constructed from the view of the default interval.A warning region is made before the beginning of business.If the default interval falls into the region,bank will take measures to lower risk;otherwise,the business will continue.Under the condition that other parameters are not changed,larger the default speed is,greater the difference between the true survival and the history function is.So the bank can warn the risk early.Finally,it is found that the model can be used well in the situation in which the time of the speed rising is random by numerical examples.更多还原