POT模型在商业银行信用风险度量中的应用

由于银行信用风险的损失分布具有鲜明的厚尾性,所以应用一般的风险计算方法往往会低估银行信用风险、而应用极值理论计算风险时能更有效地捕捉可能导致银行重大损失的尾部风险。所以把极值理论应用于银行信用风险量化分析不失为一种比较理想的方法。

Because the loss distribution of the bank credit risk has the bright heavy tail,the application of general risk computational methods can underestimate the bank credit risk. When extreme value theory is applied, the tail risk which possibly causes heavy loss of the bank can be caught effectively . Therefore the application of the extreme value theory in the bank credit risk quantification analysis is an ideal method.