Credit risk measurement: Developments over the last 20 years
回顾过去20年信用风险度量文献的演变，涵盖单个贷款和贷款组合的风险度量，并介绍一种基于死亡率风险框架的新方法，用于分析贷款和债券的风险收益结构。
This paper traces developments in the credit risk measurement literature over the last 20 years. The paper is essentially divided into two parts. In the first part the evolution of the literature on the credit-risk measurement of individual loans and portfolios of loans is traced by way of reference to articles appearing in relevant issues of the Journal of Banking and Finance and other publications. In the second part, a new approach built around a mortality risk framework to measuring the risk and returns on loans and bonds is presented. This model is shown to offer some promise in analyzing the risk-return structures of portfolios of credit-risk exposed debt instruments.