Research on the comparison of credit risk models

被引：0

作者：

Mai, Q ^{[1
]}

Hu, YQ ^{[1
]}

机构：

[1] Harbin Inst Technol, Sch Management, Harbin 150001, Peoples R China

来源：

PROCEEDINGS OF THE 2005 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (12TH), VOLS 1- 3 | 2005年

关键词：

credit risk; credit spread; reduced form models; structural models;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Credit risk is also called default risk. It is the distribution of financial losses due to unexpected changes in the credit quality of a counterparty in a financial agreement. Credit risk models can be divided into structural models and reduced form models according to their different ways to describe default events. This paper introduces each of them and their developments respectively, and analyses their feathers. Based on the comparison of their advantages and disadvantages and the realities of Chinese financial market, this paper proposes some advises to improve credit risk management level of our country.

引用

页码：1982 / 1986

页数：5

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