财经理论与实践2018，Vol.39Issue(3)：2-8,7.
银行信贷资产证券化信用风险度量及传染研究——基于修正KMV模型和MST算法的实证
Credit Risk Measurement and Infection Research of Bank Credit Assets Securitization:Empirical Research Based on Modified KMV Model and MST Algorithm
摘要
Abstract
Based on the background of loan interest rate liberalization,a ccurate and scientific measurement of credit risk and description of its contagion mechanisms are conducive to the effi-cient and healthy development of bank credit asset securitization.Using the modified KMV model and the minimum spanning tree (MST)algorithm,the empirical research results show that the credit risk of the products issued by policy banks and large commercial banks is at a low level and the product default rates issued by joint-stock banks,city commercial banks and rural commer-cial banks are slightly higher than the previous two types of banks.At the same time,the latter three types of banks play an important role in transmitting information and maintaining network stability.关键词
商业银行/信贷资产证券化/信用风险/修正KMV模型/最小生成树(MST)Key words
commercial bank/securitization of credit assets/credit risk/modified KMV mod-el/minimum spanning tree (MST)分类
管理科学引用本文复制引用
谢赤,凌毓秀..银行信贷资产证券化信用风险度量及传染研究——基于修正KMV模型和MST算法的实证[J].财经理论与实践,2018,39(3):2-8,7.基金项目
国家自然科学基金项目(71373072)、国家自然科学基金项目(71340014) （71373072）
