根据巴塞尔委员会的要求,国际银行业对信用风险的测量和管理已取得很大进步。当前比较著名的信用风险测量模型有CreditMetrics、Portfolio Manag-er和CreditRisk+等。但就这些模型来说,主要存在以下问题:(1)模型通常直接引用金融市场风险模型的方法,但在实践中信用风险模型比金融市场风险模型更难于操作。如信用风险模型处理的是违约事 According to the requirements of the Basel Committee, great progress has been made in the measurement and management of credit risk by the international banking industry. Currently more famous credit risk measurement models CreditMetrics, Portfolio Manag-er and CreditRisk + and so on. However, for these models, the main problems are as follows: (1) The model usually refers to the method of the financial market risk model directly, but in practice, the credit risk model is more difficult to operate than the financial market risk model. For example, the credit risk model deals with default