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中国管理科学

中国管理科学 ›› 2008, Vol. 16 ›› Issue (2): 30-36.

• 论文 • 上一篇    下一篇

信息噪音、结构化模型与银行客户风险限额管理

程功1,3, 张维1,2   

  1. 1. 天津大学管理学院 天津300072;
    2. 天津大学管理学院 天津300222;
    3. 国家开发银行 北京100037
  • 收稿日期:2007-01-17 修回日期:2008-03-14 出版日期:2008-04-30 发布日期:2008-04-30
  • 作者简介:程功(1976- ),男(满族),河北文安人,天津大学管理学院博士,研究方向:金融工程与金融风险管理研究.
  • 基金资助:

    国家自然科学基金资助项目(70471062)

Noisy Information, Structural Model and Bank Clients’ Credit Limit Management

CHENG Gong1,3, ZHANG Wei1,2   

  1. 1. School of Management, Tianjin University, Tianjin 300072, China;
    2. Tianjin University of Finance and Economics, Tianjin 300022, China;
    3. China Development Bank, Beijing 100037, China
  • Received:2007-01-17 Revised:2008-03-14 Online:2008-04-30 Published:2008-04-30

PDF (PC)

1544

被引次数

9

摘要： 本文研究了如何利用结构化模型来测算客户风险限额的问题.首先,本文根据国内金融市场和银行信用风险管理的特点,建立了考虑噪音的结构化模型.然后,在此基础上,提出了一种新的客户风险限额测算方法.最后,进行了案例分析.发现:(1)在其他情况不变的情况下,违约概率随违约阈值的增加而单调递增;(2)降低噪音有利于提高银行给予企业的风险限额;(3)与银行目前的方法相比,本文方法的结果更加谨慎,传递的信息更加丰富.

关键词: 结构化模型, 信息噪音, 信用风险, 风险限额

Abstract: This paper investigated how to calculate clients' credit limit applying structural models.Firstly,it derived a structural model including noise which were consistent with china local financial market and the bank's practice of credit risk management.Then,a new method to calculate clients credit limit was brought forward.Finally,a case study was put forward.We found that:(1)When other factors were fixed,the probability of default(PD) was increased monotonously with the increase of default-trigger value;(2) it was useful to increase banks' client credit limit when the noisy information was improved;(3) in comparison with banks actual method,its result was more cautious and more informatory.

Key words: satructural models, noisyinformation, credit risk, default probability

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