论文部分内容阅读
银行面临的风险主要有:信用风险、市场风险、操作风险和法律风险。多年来信用风险始终是银行金融机构承担的主要风险之一。信用风险是指借款人未能如期偿还其债务进而为贷款人带来的风险。近年来,随着银行信用衍生产品的不断创新,全球范围内对投资组合的不断深化,信用风险管理模型的研究在国际上得到了高度的重视和提高,并获得迅速的发展。信用风险的量化管理和动态管理成为风险管理的主流方向。本文通过介绍当前比较成熟的风险管理方法-VaR方法.把J.P摩根的CreditMetrics模型引入到我国的信用风险管理中来,为我国信用风险管理提供一些启示。
The main risks faced by banks are: credit risk, market risk, operational risk and legal risk. Credit risk has always been one of the major risks borne by banking financial institutions over the years. Credit risk refers to the borrower fails to repay his debt on schedule and thus bring the risk for the lender. In recent years, with the continuous innovation of bank credit derivatives and the continuous deepening of investment portfolio around the world, the research on credit risk management model has been given a high priority in the world and has been rapidly developed. The quantitative management of credit risk and dynamic management become the mainstream of risk management. This article introduces the current relatively mature risk management method-VaR method, introduces the CreditMetrics model of J.P Morgan into the credit risk management in our country, and provides some enlightenments for the credit risk management in our country.