Corporate Credit Risk Modeling: Quantitative rating system and probability of de

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给搞新巴的人看的,基于打分卡的论文,比较符合国内银行目前的风险模型主流

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Corporate Credit Risk Modeling: Quantitative rating system and probability of default estimation

October 2005

Abstract: Research on corporate credit risk modeling for privately-held firms is limited, although these firms represent a large fraction of the corporate sector worldwide. Research in this area has been limited because of the lack of public data. This study is an empirical application of credit scoring and rating techniques to a unique dataset on private firms bank loans of a Portuguese bank. Several alternative scoring methodologies are presented, validated and compared. Furthermore, two distinct strategies for grouping the individual scores into rating classes are developed. Finally, the regulatory capital requirements under the New Basel Capital Accord are calculated for a simulated portfolio, and compared to the capital requirements under the current regulation.

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关键词：Quantitative Probability credit risk QUANTITATIV Corporate Modeling Probability Credit RATING Estimation

国内银行现在这么做么？你问问他们看得懂看不懂先

另外basel II 叫新巴塞尔协议，现在basel II本身就存在问题，那过些日子出了basel III，叫什么呢？新新巴塞尔协议？