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The Measurement of Credit Risk Based on VAR

Author: PengPai
Tutor: ChenGuoJin
School: Xiamen University
Course: Finance
Keywords: Credit Risk Risk quantification Value at Risk
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 561
Quote: 0
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Abstract


In this paper, the current international advanced credit risk management techniques , combined with the credit risk management of commercial bank status , risk quantification techniques first introduced the latest progress - value at risk (VAR) methodology and its calculation and conditions, and then review the credit risk management techniques development, the research will be applied to credit risk measurement techniques VAR approach , focused on portfolio credit risk and credit risk correlations , credit risk diversification effect and VAR techniques based on a combination of credit risk quantification models - CreditMetrics model , and finally explored the feasibility of introducing a VAR technology and the need to create conditions and CreditMetrics model and the realities of commercial banks on an innovative model CreditMetrics make it in China's commercial banks in the current environment can be applied .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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