基于严格贴近度信用风险警限确定.pdfVIP

200420 总第304 期 商业研究 COMMERCIAL RESEARCH : 1001- 148X ( 2004) 20- 0021- 03 方先明, 唐德善 ( 河海大学 经济学院, 江苏 南京 210098) : 信用风险是现代商业银行实际经营过程中所面临的主要风险, 对 准确地预报预控是信用风 险预警系统的目标由于衡量信用风险的信用风险度是一个适度指标, 传统的警限确定方法并不适 用当警限确定过程中, 引入严格贴近度的概念时, 可通过实际风险度与最佳风险度的严格贴近度来 确定系统的运行状态, 从而从多 个侧面综合反映信用风险的真实变动状况理论分析与仿真计算表 明, 该方法具有可操作性 : 信用风险; 最佳风险度; 贴近度; 警限 : F2240 : A The Security Line of Credit Risk Based on the Strictly Close Degree FANG Xianming, TANG Deshan ( College of Economics , Hohai University , Nanj ing 210098, China) Abstract: Credi risk is he mos serious risk o be deal w i h for commercial banks . I is he main goal of credi risk warning sys em o forecas and con rol he po en ial credi risk. Because he index of credi risk degree, w hich can no be measured by he ex is ing me hods, is a modera e index, he close degree is used in f ix ing he securi y line of he credi risk . The possible credi risk can be obj ec ively repor ed from diff eren sides by calcula ing he s ric ly close degree, which can be ob ained by comparing he evalua ing risk w i h he op imum risk . The prac icabili y of he me hod is es if ied by he heore ic analysis and he simula ion es s. Key words: credi risk ; op imum risk degree; close degree; securi y line ; r - 3 i ci [ 11- 16] ARCH , [ 1- 4] , : , [ 17]