摘要
违约率的评估与测度是巴塞尔新资本协议内部评级法的关键内容。因此,如何准确、有效地计量违约率是商业银行信用风险管理的核心问题。文章从违约与违约率的概念出发,对国内外学术界违约率评估的主流方法——经济计量方法进行了探讨,对其理论基础,模型构建以及实证研究进行了梳理、评价和比较分析。
The Evaluation of Possibility of Default （PD） has been listed as the crucial part of IRB （ Internal Rating-Based） in the new Basel Capital Accord. So it has been the key problem of the Credit Risk Management of Commercial Bank to evaluate and curate the PD accurately and effectively. This paper is an empirical study of the main econometric methods of PD evaluation in domestic and foreign academics, the model construction and its theoretical basis are discussed based on the findings of the research.
出处
《广州大学学报（社会科学版）》
2008年第4期58-62,共5页
Journal of Guangzhou University:Social Science Edition
关键词
违约率
经济计量模型
线性判别模型
LOGIT模型
主成分分析
possibility of default
econometric model
linear discriminant Model
logit model
principal component analysis
