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商业银行信用风险管理与VaR风险度量

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摘要 新巴塞尔协议提倡量化商业银行风险,并强调了商业信用风险管理的重要性,基于VaR的风险度量模型成为商业银行提高信用风险管理水平的重要途径。本文介绍VaR度量风险的含义及基于VaR的风险度量模型Credit Metrics原理,提出提高我国商业银行信用风险管理水平方法。
作者 张云
出处 《北方经济(学术版)》 2007年第10期43-44,共2页 Northern Economy
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