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AN ANALYSIS ON THE MODELS FOR THE MEASUREMENT OF CREDIT RISKS |
YANG Yun-shi1, Xu Cong-wei2 |
1. Beijing University of Aeronautics and Astronautics,Beijing 100083, China;2. Hefei University of Technology, Hefei 230009, China |
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Abstract: Various credit risk assessment approaches and models have been put forward in the recent years. The paper has introduced the most famous models including CreditMetricsTM, CreditRisk+, KMV and CreditPortfolio View, and analyzed the differences,advantages and disadvantages among them. These models, with their unique framework and reasoning clues, will have reference values to the country’s credit risk management of financial institutions.
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Received: 01 January 1900
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