The approaches to dynamic credit risk measurement for commercial bank based on time series

被引：0
|
作者：
Xu, JN [1 ]
Xi, B [1 ]
机构：
[1] Harbin Inst Technol, Sch Management, Harbin 150001, Peoples R China
来源：
PROCEEDINGS OF THE 2004 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS 1 AND 2 | 2004年
关键词：
dynamic credit risk measurement; time series; AHP-ANN; VAR;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This research aims at realizing the dynamic credit risk measurement for commercial bank based on time series analysis. According to credit risk measurement internal estimation theory and models in commercial bank, it combines the outputs of the AHP-ANN model with VAR and sets up the dynamic credit risk measurement model based on time series analysis. The results show that the model can make the dynamic description of the loan procedure that can supply the effective information for the loan decision.
引用
收藏
页码：2139 / 2144
页数：6
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