消费信贷信用风险量化管理论文.docVIP

消费信贷信用风险的量化管理 　 荣佳茵　 ２００５年４月　 　 摘 要　 近几年 随着消费信贷的飞速发展 人们开始越来越关注消费信贷信用风险 的控制和管理 在传统的信用分析方法之外 许多机构开发出了量化度量信用风 险的模型 美国 J.P. Morgan 财团与其他几个国际银行研究推出的 Credit Metrics  模型就是世界上第一个评估信用风险的量化度量模型  该模型以资产组合理论  VaR 理论等为依据 以信用评级为基础 可以识别贷款 债券等传统投资工具的 信用风险 本文就是利用这个信用度量制 Credit Metrics 和 VaR 相结合的方法 以一  个汽车贷款合同为例  采用 CreditMetricsTM-Technical Document  书中的各种  美国的历史数据来进行模拟运算 然后计算出标准差 相对在险价值和百分比水  平来分析消费信贷合同的信用风险度量  并在此基础上研究在模型分析过程中  债务人初始信用评级和还款方式的变化对最终风险评估结果的影响  最后 根据模拟运算的结果  我们可以发现 Credit Metrics 是一种可在银行  信用风险控制系统中加以运用的工具 但是中国在统计数据和信用体系等方面还 存在很大的障碍 金融领域中很难在短期内实现信用风险控制的量化管理 因此 在许多地方还需要加强建设  中图分类号  Ｆ８３０．５８９　  主题词  消费信贷　信用风险　信用度量制 Credit Metrics 　 II Quantitative Management on the Credit Risk of Consumer Credit Rong Jiayin April, 2005 Abstract In the recent years, with the rapid development of consumer credit, people began to pay more and more attention on the control and management of the credit risk. Besides the traditional credit analysis methods, some quantitative management models have been developed by many institutions. Credit Metrics developed by J.P. Morgan and several other international banks is the first one among that sort of quantitative management models. Based on the portfolio and VaR theories, Credit Metrics can help recognize the credit risk of the traditional investment tools such as loans, bonds and etc. by considering the migration of the credit risk. In this paper, based on J.P. Morgan’s Credit Metrics and VaR method, we discuss a contract on auto loan. All parameters datum come from the J.P. Morgan’s CreditMetricsTM-Technical Document and we analyze the credit risk of consumer loans by standard deviation, relative VaR and percentile level. Furthermore, we will study on the impact of the different initial credit states and how to return the loan on the final result of credit risk. In the end, we can find that Credit Metrics is a kink of feasible tool