VaR方法在银行贷款风险评估中的应用

被引：10

作者：

邹新月

机构：

[1] 湖南科技大学

来源：

统计研究 | 2005年 / 06期

关键词：

VaR; 贷款风险; 信用等级;

D O I：

10.19343/j.cnki.11-1302/c.2005.06.011

中图分类号：

F224 [经济数学方法];

学科分类号：

0701 ; 070104 ;

摘要：

Value at Risk model developed recently is a mathemetical medol to measure and monitor market risk.The article focuses on discussing calculate procedure and calculate method about applying VaR means for the bank loan risk in evaluation,we make clear differentiate both the Bank for International Settlements draw credit risk reserve and VaR means calculate bank loan risk value,find VaR means in application practicality value and extensity perspective in our bank loan risk for evaluation.

引用

页码：58 / 61

页数：4