科研管理

科研管理 ›› 2009, Vol. 30 ›› Issue (2): 139-149 .

• 论文 • 上一篇    下一篇

基于信用风险迁移的组合收益与组合风险计量模型

迟国泰，董贺超，刘艳萍   

  1. 大连理工大学管理学院，辽宁 大连116024
  • 收稿日期:2008-10-31 修回日期:2009-01-06 出版日期:2009-01-01 发布日期:2009-01-01

A portfolio yield and portfolio risk measuring model based on the credit risk migration

Chi Guotai, Dong Hechao, Liu Yanping   

  1. School of Management, Dalian University of Technology, Dalian 116024, China
  • Received:2008-10-31 Revised:2009-01-06 Online:2009-01-01 Published:2009-01-01

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摘要： 考虑了信用风险迁移对银行贷款的影响，将信用风险迁移应用到贷款收益率的计算中，求解出各类企业各年份的相应贷款收益率期望值，建立基于信用风险迁移的组合收益与组合风险的计量模型。本文的特色一是把企业信用风险迁移的思路引入到贷款收益率的计算中，反映了企业信用等级迁移对企业收益率的影响，更加客观地反映了贷款的真实收益与风险的关系，解决了现有研究仅简单求解各笔贷款的收益率期望值而忽略信用风险迁移的问题。二是通过信用风险迁移原理计算各类贷款的违约风险，在此基础上测算组合违约风险，建立了贷款组合风险的测算模型，解决了现有研究忽略违约风险因素和对组合风险测算的不合理问题。

关键词: 信用风险迁移, 组合收益, 组合风险, 银行贷款, 贷款管理

Abstract: Abstract: Considering the effect of credit risk migration on the loan and by introducing the credit risk migration into the calculation of loan’s yield, the corresponding annual expected values of the loan’s yields for various corporations can be obtained. Based on the credit risk migration, a portfolio yield and portfolio risk measuring model is developed. Firstly, it is considered that the credit rating migration has a significant impact on the calculation of the loan’s yield. It can objectively reflect the relation between real yield and risk. As a result, the problem of simply seeking the expected value of each loan’s yield and accordingly ignoring the credit risk migration can be solved. Secondly, based on credit risk migration theory, the default risk and portfolio default risk can be calculated and consequently a measuring model for loan portfolio risk is developed. Therefore, the problem involving default risk ignoring and the irrational measurement of portfolio risk can be solved.

Key words: credit risk migration, portfolio yield, portfolio risk, bank loan, loan management

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