1、中文 2450 字 出处： Santomero A M. Tolerance of the Credit Risks of Commercial Bank J. Journal of Financial Services Research, 1997, 12(2): 83-115. 外文原文 Tolerance of the Credit Risks of Commercial Bank AM Santomero Commercial bank main model and method including tradition credit risks, credit of managemen
2、t measure method and based on VAR modern credit risks measure model. Among them, traditional credit risks measure method include expert system camphor tree law , credit point system and neural network model, and based on VAR modern credit risks measure model include KMV model , surtax model , model
3、of Credit-Metrics and credit risks of CSFP. Expert system model law before one year, financial institution is it analyze or determine the nature analytical method not to weigh credit risks, enterprise of loan subjectively to rely on mainly, this kind of method is called the expert system models. Suc
4、h as classical 6C law - By the morality about experts foundation debtor (character), ability (capacity), capital (capital), pledge (collateral ) , management environment (condition ) and continuity (Continuity ) of undertaking six factor evaluate creditworthiness and comprehensive refund ability the
5、ir, determine whether to grant the loan finally or not. Whether classical credit is it stores some defects in to analyze, mainly showing in the following aspects. Risk that the human factor brings. Following the serious bureaucratic style of work. Credit point system to reflect debtor economic situa
6、tion or influence debtor several indexes (such as the financial rate of the borrowing enterprise), credit of state entrust to certain weight, receive and reflect credit the dividing value or the value of probability in breach synthetically of the credit state through some specific methods, and is it
7、 is it pay loan grant and loan fixed price to determine to come compared with basic value it. Whether Z value model propose by Altman, adopt five financial indexes (5 financial index these on 1968. Xl =Net working capital / total assets, X2 =Retain the incomes / total assets, X3 =EBIT / total assets
8、, X4 =Benefit market value / the book value of the debt, X5 =The income from sales / total assets) calculate the weighting, implement credit to mark to the borrowing enterprise, compare total points with critical value, distinguish the bankrupt company and not go bankrupt in the company, will not gr
9、ant the loan to the bankrupt enterprise. 1977, Altman, Hardeman, Mahayana is it set up categorized accuracy higher ZETA model to expand to go on to primitive Z value model. 1995, as to private company, Altman revise to Z value model, counting by Z value model. At present, the main defect of this kin
10、d of model is lacking the essential historical record material. The neural network model roughly imitates the thought process of human brain and artificial intelligence system of the learning method. Neural algorithm of network whether one group input, carry on mathematics is it produce through tran
11、sfer function one export to change and then. Foreign Altman and Vrettos, Coats and Fans, etc all try to use this law, receive certain result. Someone uses such methods as the neural network, etc. to carry on the appraisal of risk of credit to the commercial bank too in our country. But neural model
12、heavy shortcoming that their randomness of working is relatively strong most, and need to debug artificially. Consume a large amount of manpower and time. The nerve network model imitates the persons artificial intelligence system of the brain thinking process and the study method mostly. The calcul
13、ate way of the nerve network is an importation, and then pass to convert the function to carry on mathematics conversion to produce an exportation of. Altman and Vrettos, Coates and Fans etc.excesses of the abroad all tried to make use of this method, being subjected to the certain result. Someone a
14、pplies also the nerve network etc. the method carries on the credit risk evaluation to the commercial bank. However, the biggest weakness of the nerve model is the random that it works stronger, and need the artificial to adjust to try. Waste a great deal of manpower and times. The Model of the KMV
15、is the estimate to the borrow funds the business enterprise default all rate of method. First, it makes use of the Black- Stoles three option list price formula, the according to motion of the market value, the property value of the business enterprise property, expire time, the calm insurance to bo
16、rrow interest rate and owe debt faces to be worth to estimate a market value of business enterprise ownership of a share and it undulates sex, compute a default implement( the Default Exercise Point, for business enterprise a year following the value of short- term obligation plus dont long- term ob
17、ligation of pure face the value of half) of company according to the liabilities of the company again, then the calculation borrow funds the persons default distance, the end is apart from to break contract the rate( EDF) its with expectation according to default of the business enterprise of beg an
18、 expectation default rate of business enterprise towards should relate to. The model of Credit-Metdcs was credit risk that J P root develops in 1997 to calculate model. It is an establishment on the usefulness foundation of reputation rating system of. The usefulness of reputation rating system mean
19、s that investment in enterprise failure, profits descend, margin outlet dried up etc. Reputation affairs appear towards fulfill contract influence of ability can in time and fittingly through variety body of its reputation grade. Because of the occurrence of reputation affairs, will produce influenc
20、e to reputation grade of business enterprise, the market value of its reputation tool also takes place homologous variety by all means. That model is an angle that combined from the property, not angle of the one property to treat the credit risk. It passes to contrast the combination to contribute
21、(the average limit risk contribute= augmentative risk of combination because of increase one some reputation tool, the market of reputations tool value) in the limit risk of each reputation tool, the reputation grade of a reputation tool, expose degree with related coefficient and its risks of other
22、 properties etc. end turn basis for the quantity that the letter loan of investor makes policy to provide science. The CSFP credit risk affixture calculates the Credit-Metrics dissimilarity that the model and conduct and actions stare at the city model( MTM), it is a break contract model( DM), it is
23、 not the rise and fall of the reputation rating and change with this related reputation excess fare to see as a part of VAR( credit risk) for lend money, but see do only is the market risk, it at any period consider to break contract and dont break contract these two kinds of affairs appearances onl
24、y, loss that calculate to expect and did not expect, but be unlike in the Credit- Metrics value that generous character expect and the value variety that did not expect. In the CSFP credit risk affixture calculate model, break contract all the rate is no longer long-lost, but was certainly change in
25、 to have by the model all the rate distribute of change quantity continuously. The Each loan was see to do small all the rate breaks contract the affairs, and the default of each loan all rates are all independent the in other loans, thus, the lending money the combination the default all the rate d
26、istributes to near the loosen to distribute.CSFP credit risk affixture calculates the model consideration break contract all the different from lose indetermination of the size, calculate all rate and lose the size and can get ally of indetermination of the rate the segment distributes lose, adding to all losses of segment of total for lend money the combination of loss
