Page 12 - 風險管理小辭典

Merton 選擇權模型 (Merton Model).............................177
Moody’s KMV (MKMV)...............................................179
TM
預期違約頻率 (Expected Default Frequency ， EDF )...180
TM
CreditMetrics 模型 (CreditMetrics Model).................182
轉置矩陣 (Transition Matrix).......................................185
縮減式模型法 (Reduce Form Model)............................187
馬可夫過程 (Markov Process)......................................189
單因子模型 (One-Factor Model)..................................192
循環觀點的評分；及時點觀點的評分 (Through-the-

Cycle ， TTC ； Point-in-Time ， PIT)..............................194
資產相關性 (Asset Corr elation)....................................197
+
波氏機率分配 (Poisson Distribution 及 Creditrisk )......200
迴歸分析模型 (Regression)..........................................203
邏吉斯迴歸分析模型 (Logistic Regression).................205
消費者信用評分 (Consumer Credit Scoring).................207
區隔分析 (Segmentation).............................................209
拒絕推論 (Reject Infe rence).........................................211
好壞比值 (Good/Bad Odds)..........................................212

K-S 檢定 (Kolmogorov-Smirnov Test)..........................214
ROC 曲線與 AUC 值 ....................................................216
核准點 (Cut-Off).........................................................218
校準 (Alignment).........................................................220
樣本穩定度指標 (Population Stability Index)...............222
收入 負 債比 (Debt Burden Ratio ， DBR).......................224
資 料倉儲 、資 料超 市 (Data Warehouse 、 Data Mart)....226