期刊文献+

抵押贷款的信用风险度量

Credit Risk Measurement for Secured Loan
下载PDF
导出
摘要 在对新巴塞尔协议的IRB方法研究的基础上,提出了比该方法更一般的度量信用风险的模型.在建模过程中,考虑了同类贷款组间的相关性和宏观经济因素对抵押贷款回收率的影响.最后,应用该模型对有担保的中小企业的贷款组合进行了信用风险度量. The more common credit risk model than the Internal Rate Approach in New Basel Agreement is proposed in this paper. The correlation between homogeneous loan portfolio and the effect of macroeconomic conditions on recovery rate of secured loan are taken into account in the model.Finally,credit risk measurment is applied for secured loan portfolio in small or middle enterprises.
作者 蔡风景
出处 《温州师范学院学报》 2004年第2期53-58,共6页 Journal of Wenzhou Teachers College(Philosophy and Social Science Edition)
关键词 抵押贷款 信用风险 回收率 secured loan credit risk recovery rate
  • 相关文献

参考文献7

  • 1Chabaane A,Chouillou A, Laurent J. Aggregation and credit risk measurement in retail banking[J] .Workingpaper, 2003.
  • 2Frey J. Collateral damage:a source of systematic credit risk [J]. Risk, 2000, 4:91 ~94.
  • 3Frey R, McNeil A.VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights [J].Journal of Banking & Finance,2002, 26:1317~ 1334.
  • 4Artzner P, Delbaen F, Eberm J W, et al. Coherent Measures of Risk [J].Mathematical Finance, 1999, 9 (3) :203~228.
  • 5文凤华,马超群,巢剑雄.风险度量新趋势分析[J].湖南大学学报(自然科学版),2001,28(6):122-127. 被引量:6
  • 6安东尼·桑德斯(著) 刘宇飞(译).信用风险度量-风险估值的新方法与其他范式[M].北京:机械工业出版社,2000..
  • 7邓云胜,沈沛龙,任若恩.贷款组合信用风险VaR的蒙特卡罗仿真[J].计算机仿真,2003,20(2):92-95. 被引量:10

二级参考文献5

共引文献14

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部