商业银行外部评级和资本市场评价比较研究

银行风险是当前中国面临的最主要的金融风险。为了准确评价银行的风险,首先介绍了两种最主要的方法——外部评级法和资本市场评价模型,再用默顿和KMV的相关理论计算了资本市场评价模型中最主要的参数d2,并用聚类的方法将d2分类后和外部评级法的结果进行比较,结果表明,市场评价模型的客观性和公正性较好,外部评级法的稳定性较好,两种方法各有优劣,可以互相借鉴。

A Comparison Study on the Open Credit Rating and Capital Market Appraisal of Commercial Bank

Bank risk is the main financial risk we are facing in China.To evaluate Bank risk accurately,two methodology is introduced,namely the open credit rating and capital market appraisal model;then Merton model and KMV correlation rationale are used to compute the parameter d2.Then d2 is clustered and compared with open credit rating.The result shows that the market appraisal model is more objective and open credit rating is more stable.