信用风险模型（36学时）课程简介

信用风险作为一种长期存在的风险形式，被人们广泛应用于风险社会的风险管理中。随着现代科学技术的发展，以及对于市场风险等其他风险的管理水平的提高，现代信用风险的管理水平也得到了提升。本课程主要内容是信用风险的计量方法以及信用风险模型的应用，着重讲授信用风险的管理目标；信用模型技术的演进；宏观因素对违约风险的影响；内部评级与信用模型的检验方法；用历史违约数据检验信用模型；应用市场数据检验信用模型；信用模型的超样本检验；巴塞尔协议的检验意义与金融机构管理；运用默顿模型和简约模型衡量安全性、稳健性及资本配置；抵押对估价模型的影响；循环信用和其他贷款协议的定价和估价；信用衍生产品与衍生债务抵押债券；信用模型的未来发展等内容。

使用教材：《信用风险模型与巴塞尔协议》戴维特 著 中国人民大学出版社 2005.4

Credit Risk Model (36 class hours)

As a kind of long-standing risk, credit risk is used widely in the risk management. As the development of the modern technology and other risk, such as social risk management skill, the level of modern risk management has been raised. This course mainly interprets the application of measurement methods and credit risk models for credit risk. It particularly introduce credit risk management goals, evolution of credit modeling techniques, impact of macroeconomic factors on the risk of default, test methods of internal rating models and credit, credit historical default data with the model test, application of market data to test credit model, Ultra-sample test of the model, the significance of testing the Basel agreements and management of financial institutions, Merton model and the use of a simple model to measure the safety, soundness and capital allocation, Impact on mortgage valuation models, Revolving credit agreement and other loan pricing and valuation, credit derivatives and derivative CDOs and the future development of model.

《信用风险模型》课程教学进度计划