内部评级系统验证方法研究评介
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外国经济与管理 2005 年 第 27 卷第 11 期, 页码：
摘要
参考文献
摘要
本文借鉴国际银行业和学术界的相关研究成果,介绍了内部评级系统验证的整体框架,然后归纳和分析了内部评级系统的具体量化验证方法,最后探讨对于构建我国商业银行内部评级系统建设的借鉴意义。
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[2]Basle Committee on Banking Supervision.Studies on the validation of rating system[R].Working Paper No.14,2005,2:1-120.
[3]Office of the Comptroller of the Currency(OCC)Treasury,Board of Governors of the Federal Reserve System(Board),Federal Deposit Insurance Corporation(FDIC),and Office of Thrift Supervision(OTS),Treasury.Internal ratings-based systems for corporate credit and operational risk advanced measurement approaches for regulatory capital[R].2003,7:1-165.
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[5]Deutsche Bundesbank.Approaches to the validation of internal rating systems[R].Monthly Report,2003,9:59-71.
[6]Saunders,A.Credit risk measurement:new approaches to value at risk and other paradigms[M].New York,John Wi-ley&Sons,1999:9-22.
[7]Altman,E I.Corporate financial distress:a complete guide to predicting,avoiding,and dealing with bankruptcy[M].New York,John Wiley&Sons,1993:179-206.
[8]Falkenstein Eric,Andrew Boral,and Lea V Carty.RiskCalcTMfor private companies:moody’s default mode[R].Mood-y’s Investors Service,Global Credit Research,2000,5:1-88.
[9]Standard&Poor’s Risk Solutions.Model building in the default filter platform[R].2004,1:1-35.
[10]KMV Corporation.Modeling default risk(revised version)[R].San Francisco:KMV Corporation,2001:1-37.
[11]Gupton,G M,Stein,R M.LossCalcTM:moody’s model for predicting loss given default(LGD)[R].Moody’s Inves-tors Service,Global Credit Research,2002,2:1-32.
[12]S C Keenan,J R Sobehart.Performance measures for credit risk models[R].Research Report#1-10-10-99,Moody’s Investors Service,1999:1-15.
[13]Jorge R Sobehart,Sean C Keenan,Roger M Stein.Benchmarking quantitative default risk models:a validation method-ology[R].Moody’s Investors Service,2000,3:1-20.
[14]Stephen Kealhofer,Matthew Kurbat.The default prediction power of the merton approach[R].San Francisco:KMVCorporation,2001,(5):1-39.
[15]Bernd Engelmann,Evelyn Hayden,Dirk Tasche.Measuring the discriminative power of rating systems[R].DiscussionPaper No 01,Deutsche Bundesbank,2003:1-32.
[16]Roger M Stein.Are the probabilities right?[R].Technical Report#030124,Moody’s KMV,2002,(5):1-17.
[17]Richard Cantor et al.Testing for rating consistency in annual default rates[R].Moody’s Investors Service,2001,(2):1-28.
[18]Matthew Kurbat,Irina Korablev.Methodology for testing the level of the EDFTM credit measure[R].Technical Re-port#020729,Moody’s KMV,2002,(8):1-27.
引用本文
邓云胜. 内部评级系统验证方法研究评介[J]. 外国经济与管理, 2005, 27(11): 0.
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