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《Journal of Beijing Institute of Technology(Social Sciences Edition)》 2006-03
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Research on the Correlation Problem of the Portfolio Models for Credit Risk

REN Yu-hang1,XIA En-jun1,CHENG Gong2(1.School of Economics and Management Beijing Institute of Technology,Beijing 100081;2.School of Management Tianjin University,Tianjin 300072)  
Credit risk is one of the major risks confronting the banking sector in China,while credit risk management based on the portfolio theory has become a common choice worldwide.Two key problems in this theory include portfolio credit risk quantification and the treatment of correlation problem.This paper analyses the latter one systematically and scrutinizes different treatment methods of correlation problems in different risk quantification models.It expounds the deficiencies of these models and points out that COPULA is the research trend of credit risk management models,while providing useful reference of credit risk management of the banking sector in China.
【CateGory Index】: F224
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