信用风险的动态量度与管理的研究

The study on the modern credit risk quantitative measurement and management is an international frontier research task in finance. From the view of the domestic current research state, the research of credit risk measurement and management in China is just in phase, which still based on qualitative analysis method and mainly evaluate the credit quality of firms by analyzing various financial ratios from financial statements.This research devotes major to systematically study the modern model and methods of credit risk measure and management. We apply Influence Diagram on corporate credit rating, generated step by step using gold-directed method in graphical and data structures. The first attempt of the research indicates the great potential of ID applied in credit rating .It also has great practical significance the development on bank's credit risk management. Meanwhile, using Monte Carlo in the credit correlation and the credit loss distribution of asset portfolio, we deal with these difficult. We first summarized and analyze two methods, one is the credit risk measurement approaches in Banking Supervision, the other is asset portfolio for credit risk measurement which stands for the advanced evolving tendency of internal credit risk model. The book" Advance credit risk measurement and management in Bank" is to been going published..

本课题利用国际金融风险管理最新量度－受险价值（VaR ），准确地测量银行信用风险，运用计算机模拟决定信用风险的构成：信用评级迁移概率，回收率的统计规律，研究信用风险暴露定价的理论和方法，并应用博弈论解决银行信贷决策中信息不对称问题。本课题具有重大理论意义，为规避和化解我国银行业的信用风险及提高信用风险管理，具有广阔的应用前景。