信用组合观点(Credit Portfolio View)模型是由麦肯锡(Mckinsey)开发的一个多因子模型,可以用于模拟既定宏观因素取值下各个信用等级对象之间联合条件违约分布和信用转移概率。在观测到失业率、GDP增长率、长期利率水平、外汇水平、政府支出和国民储蓄率等宏观经济因子信息时,计算不同国家、不同行业、不同信用评级的违约和信用...
2) credit portfolio view model Credit Portfolio View模型 3) Credit Metrics model Credit Metrics模型 1. Credit Metrics modelis a popular modern credit risk measurement model in the international financial circle. Credit Metrics模型是国际金融界内流行的现代信用风险度量模型,它以风险价值VaR和期权定价思想为...
In the financial literature, the development of those three types of models is based on a theoretical basis developed by many researchers mainly in the last decade of the twentieth century. The evolution of their default frequencies and the size of the loan portfolio are modeled as functions of...
6) credit portfolio view model Credit Portfolio View模型 参考词条 补充资料:AutoCad 教你绘制三爪卡盘模型,借用四视图来建模型 小弟写教程纯粹表达的是建模思路,供初学者参考.任何物体的建摸都需要思路,只有思路多,模型也就水到渠成.ok废话就不说了.建议使用1024X768分辨率 ...
an integrated market and credit risk portfolio model:一个集成的市场和信用风险投资组合模型 热度: credit risk portfolio management in microfinance banks:小额信贷银行信用风险组合管理 热度: CreditPortfolioModelingHandbook FORIMPORTANTDISCLAIMERINFORMATIONrelatingtoanalystcertification,theFirm'sratingsystem,andpotential...
This main idea of this paper is to examine theoretically the current model of credit portfolio management. We employ the credit portfolio view to examine the default probability measurement. The development of this type of model is based on a theoretical basis developed by several researchers. The...
一直以来信用风险在度量上存在着许多困难,本文分析研究了现代信用风险度量的四种代表性模型CreditMetrics模型,KMV模型,CreditRisk+模型,Credit Portfolio View模型,并... 郭琳劼 - 《西部金融》 被引量: 7发表: 2010年 商业银行信用风险管理理论及实证分析 风险管理KMV模型Credit riskRisk managementKMV modelthesis信用...
ANALYSIS OF DEFAULT PROBABILITY: A COMPARATIVE THEORETICAL APPROACH BETWEEN THE CREDIT PORTFOLIO VIEW MODEL AND THE CREDITRISK+ MODEL The main idea of this paper is to study theoretically the different ones from the credit portfolio models mainly two models: the macro-factors models and t... A ...
•CreditMigrationApproach:–CreditMetrics(fromJ.P.Morgan)–CreditVaR(CIBC)–CreditPortfolioView(McKinsey)•TheOptionPricingApproach:–KMV(fromKMVCorp.)3 MeasuringCreditRisk:Overview WhatarethecurrentproposedindustrysponsoredCreditVaRmethodologies?•TheActuarialApproach:–CreditRisk+(fromCreditSuisseFirstBoston)...