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信用风险是贷款和债券投资面临的主要风险,而CreditMetrics模型以其擅长计量非交易性资产的信用风险而著称,因此本文采用CreditMetrics模型来评估债券投资组合的信用风险,以期为投资者和风险管理者做出参考。
Credit risk is the main risk to the loan and bond investment. CreditMetrics model is famous for its credit risk measurement of non-transactional assets. Therefore, CreditMetrics model is used to evaluate the credit risk of the bond portfolio in order to provide investors and risk management For reference.