| VaR方法在银行信用风险防范中的应用 |
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| 引用本文： | 郭战琴,周宗放.VaR方法在银行信用风险防范中的应用[J].电子科技大学学报(社会科学版),2004,6(3):11-14. |
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| 作者姓名： | 郭战琴 周宗放 |
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| 作者单位： | 电子科技大学,成都,610054 |
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| 基金项目： | 教育部人文社会科学研究项目 |
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| 摘 要： | 本文讨论了VaR方法在银行配置风险资本中的应用,分别基于贷款价值服从不同分布的情况进行讨论并给出算例.在我国国有商业银行风险防范意识淡薄,防范水平低下的今天,先进的风险度量技术对增强我国商业银行的竞争力有十分重要的意义.
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| 关 键 词： | VaR方法 风险资本配置 信用风险防范 |
| 文章编号： | 1008-8105(2004)03-0011-04 |
| 修稿时间： | 2003年8月8日 |
VaR and Its Application on precaution of Credit Risk of Bank |
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| GUO Zan-qin,ZHOU Zong-fang.VaR and Its Application on precaution of Credit Risk of Bank[J].Journal of University of Electronic Science and Technology of China(Social Sciences Edition),2004,6(3):11-14. |
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| Authors: | GUO Zan-qin ZHOU Zong-fang |
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| Institution: | UEST of China Chengdu 610054 China |
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| Abstract: | This paper discusses the application of VaR (Value at Risk) in reasonably allocating risk-based capital. We give the example of calculating VaR on different distributing. Today, due to the lack of consciousness in preparing for risk and to the low precautionary level in national commercial bank, we should recommend some advanced risk-metric technology in order to reinforce the competitiveness of commercial bank. |
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| Keywords: | VaR (value at risk) risk capital collocation precaution of credit risk of bank |
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