摘要
信用风险是交易对象不能或不愿意履行合同约定的条款而导致损失的可能性.VaR方法是在一定的概率水平(置信度)下,某一金融资产或证券组合在未来特定的一段时间内的最大可能的损失,是基于统计分析基础上的风险度量技术.将VaR的方法引入信用风险度量体系,基于经典的信用风险收益分布假设,根据概率统计的方法得到了信用资产的风险价值(VaR),为商业银行消费信贷风险管理提供了一个新的思路和相应的政策建议.
Credit risk is the main risk of the commercial bank in our country.It is the possibility of loss resulted from the transaction object that is incapable or unwilling to carry on the rules in the contract.VaR is used in evaluating a single financial asset of portfolio by the modern statistics bases on probability.This issue applies the VaR to the credit risk measurement system,and according to the classical assumption of the credit risk revenue's distribution,we can get the VaR of credit assets.After all,several proposals are put forward concerning the presentation and prevention of consumer credit risk in our country.
出处
《沈阳理工大学学报》
CAS
2005年第4期85-89,共5页
Journal of Shenyang Ligong University
