商业银行零售贷款信用风险地经济资本计量研究.pdf文档全文免费阅读、在线看

  本文关键词：商业银行零售贷款信用风险的经济资本计量研究，由笔耕文化传播整理发布。

商业银行零售贷款信用风险的经济资本计量研究 II 毫皇皇詈皇墨詈詈暑皇暑 詈 詈詈篁 皇詈皇詈暑詈 詈 ! 詈暑皇皇詈皇!皇 !!!!! ! 詈詈詈詈!皇詈 皇 皇! 暑詈鼍iIII皇暑 詈 詈暑! 鼍 皇皇 Abstract Becausetheretailloanhasthe and scattered largeprofitmarginsrelatively risk，it becomesthe directionfor creditstructure the gradually important adj usting among internationalcommercialbanks．Inthebankof our retailloanstartedlate． country,the andthelevelof aboutcreditriskis low．In tothat management relativelyparticular，as thecreditriskinretailloan estimating andthen economicfor allocating capitalensuring thesafeandthe ofbank’S isremainlack stability operation，ourcountry of and specific standard wedo researchinthecreditriskinretail managementsystem．Therefore，that loanfromthe of willbeconduciveto the evaluate perspectivequantitative accurately risk， andraisethelevelofoverallrisk management． This is the ofcreditrisk papersystematicallystudying inretailloan management fromtheviewofeconomicmeasurement．This capital the and ofthe analyzes economicmeasurementmodel advantagesdisadvantages capital andtheassessmentmethodsabout credit the in thecredit risk，then probeswaymodeling risk ofthecommercial tothe oftheadvanced banks，according practicalexperience banksinintemationalmarket． Inthis main for theeconomicof paper,thestep measuring retailloanisas capital allretailloansintodifferent follows：First，divide subsetsbasedonriskcharacteristics． usethe DefaultModelofNonlinear to the Time―varyingProportional compute ofDefault the Probability FastFourierTransform respectively．Secondly,using algorithm CreditRisk+modeltocalculatethelossdistributionsandeconomicof FFT of capital retailloan inthesituationofthe PD．Onthis considers portfolio basis，，the varying paper three ofretailloandataasa thedifferentresultsforeconomic types sample，andanalyzes measureme

  本文关键词：商业银行零售贷款信用风险的经济资本计量研究，由笔耕文化传播整理发布。