by means of empirical comparison, the paper finds that the forecast outcome of possibility of default and ratio of loss of banking loan with current credit risk measurement models is very distinct.
本文通过实证比较分析发现,现代信用风险度量模型对银行贷款的违约率、贷款损失和损失率的预测结果的差异性较大;
during the past 20 years, with more and more credit risk measurement models were applied, the management of credit risk has begun its transition to engineering credit risk management.
近20年,随着越来越多的信用风险度量模型的建立和应用,信用风险管理也开始向工程化阶段过渡。
credit risk is the main risk taken by commercial banks. credit risk measurement models include expert judgment, credit scoring, neural network analysis as well as modern default probability model.
信用风险是商业银行面临的主要风险,信用风险的度量模型有专家判断法、信用评分法、神经网络分析法以及现代违约概率模型等。