Empirical Analysis of China Commercial Bank Credit Risk VaR Model

被引：0

作者：

Chen, Ruixin ^{[1
]}

机构：

[1] Qingdao Univ Sci & Technol, Coll Maths & Phys, Qingdao 266042, Peoples R China

来源：

2012 2ND INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2012), VOL 4 | 2012年

关键词：

VaR; Credit risk; Commercial bank;

D O I：

暂无

中图分类号：

C [社会科学总论];

学科分类号：

03 ; 0303 ;

摘要：

At present, China's financial market liberalization is still at the primary stage, the loans are total bank assets absolutely proportion, the commercial bank faces the biggest risk is a credit risk. In this paper, through the JP Morgan credit risk measurement (Credit Metrics) credit risk of China commercial bank are calculated.

引用

页码：432 / 436

页数：5

共 6 条

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