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1、JournalofBanking&Finance24(2000)59±117www.elsevier.com/locate/econbaseAcomparativeanalysisofcurrentcreditriskqmodelsa,*baMichelCrouhy,DanGalai,RobertMarkaCanadianImperialBankofCommerce,MarketRiskManagement,161BayStreet,Toronto,Ont.,CanadaM5J2S8bHebrewUniversity,Jerusalem,IsraelAbst
2、ractThenewBIS1998capitalrequirementsformarketrisksallowsbankstouseinternalmodelstoassessregulatorycapitalrelatedtobothgeneralmarketriskandcreditriskfortheirtradingbook.ThispaperreviewsthecurrentproposedindustrysponsoredCreditValue-at-Riskmethodologies.First,thecreditmigrationapproa
3、ch,asproposedbyJPMorganwithCreditMetrics,isbasedontheprobabilityofmovingfromonecreditqualitytoanother,includingdefault,withinagiventimehorizon.Second,theoptionpricing,orstructuralapproach,asinitiatedbyKMVandwhichisbasedontheassetvaluemodeloriginallyproposedbyMerton(Merton,R.,1974.J
4、ournalofFinance28,449±470).Inthismodelthedefaultprocessisendogenous,andrelatestothecapitalstructureofthe®rm.Defaultoccurswhenthevalueofthe®rmÕsassetsfallsbelowsomecriticallevel.Third,theactuarialapproachasproposedbyCreditSuisseFinancialProducts(CSFP)withCreditRisk+andwhichonlyfocus
5、esondefault.DefaultforindividualbondsorloansisassumedtofollowanexogenousPoissonprocess.Finally,McKinseyproposesCreditPortfolioViewwhichisadiscretetimemulti-periodmodelwheredefaultprobabilitiesareconditionalonthemacro-variableslikeunemployment,thelevelofinterestrates,thegrowthratein
6、theeconomy,...whichtoalargeextentdrivethecreditcycleintheeconomy.Ó2000ElsevierScienceB.V.Allrightsreserved.JELclassi®cation:G21;G28;G13qThisworkwaspartiallysupportedbytheZagagiCenter.*Correspondingauthor.Tel.:+1-416-594-7380;fax:+1-416-594-8528.E-mailaddress:crouhy@cibc.ca(M.Crouhy
7、).0378-4266/00/$-seefrontmatterÓ2000ElsevierScienceB.V.Allrightsreserved.PII:S0378-4266(99)00053-960M.Crouhyetal./JournalofBanking&Finance24(2000)59±117Keywords:Riskmanagement;Creditrisk;Defaultrisk;Migrationrisk;Spreadrisk;Regulatorycapital;Banking1.IntroductionBIS1998isnowinplace
8、,withinternalmodelsformark
