摘要
商业银行信用风险管理的复杂性要求对信用风险进行定量分析和管理。本文将JP Morgan信用风险计量法引入我国商业银行信用风险的研究,通过样本分析对商业银行信用风险的VaR进行测算,进而对银行的信用风险状况和资本要求进行评估。通过分析,本文提出强化我国商业银行信用风险管理的政策建议。
The complexity of credit risk management of commercial banks asks for quantitative analysis to credit risk. The paper introduces Credit Metric of JP Morgan to the research of credit risk of commercial banks, calculates the credit risk VaR of commercial banks of our country by stylebook analysis and evaluates the credit risk and capital requirement of them. Above all, the paper puts forward the advices to strengthen credit risk management of commercial banks for China.
出处
《金融研究》
CSSCI
北大核心
2004年第10期40-47,共8页
Journal of Financial Research
