摘要
对当前国际上几种主要的信用转移矩阵估计方法中所采用的预测模型进行了系统的分析,指出这些方法在模型构建中存在的一些共性问题,并通过进一步讨论,发现传统的结构建模方法是导致这些问题的关键·为此,提出了将动态建模理论引入转移矩阵预测模型的建模框架,并从理论上说明了这种建模途径能使所构建的转移矩阵预测模型具有更为可靠的理论依据,从而改善预测模型的有效性·
Some types of forecasting models that have been used in existing main estimating methods for credit rating transition matrix are systematically analyzed of which some questions in common with respect to modeling are discussed further. It was found that the traditional modeling method is the key to cause these questions. A modeling framework is therefore proposed to combine with the rating matrix forecasting model. It is showed theoretically that using this method to construct transition matrix forecasting model is reliable and the effectiveness of the model can be improved.
出处
《东北大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2004年第5期508-510,共3页
Journal of Northeastern University(Natural Science)
基金
国家科技部2003年科技兴贸项目(2003EE550001)
关键词
信用风险
信用等级
转移矩阵
预测模型
协整
误差修正模型
credit risk
credit rating
transition matrix
forecasting model
cointegration
error correction model
