摘要
通过与Matlab程序相结合的方式介绍了基于蒙特卡罗模拟的商业银行信用风险度量方法,该方法使在给定的置信水平下科学地估算国内商业银行的信用风险成为可能。
This paper introduces the method of measuring credit risk of commercial bank based on Monte Carlo simulation in the way which is combined with Matlab procedure. This method makes it possible to measure credit risk of commerical bank of China under the given confidence level.
出处
《技术经济》
2008年第2期53-57,80,共6页
Journal of Technology Economics
基金
安徽省教育厅自然科学研究项目(kj2007b084)
关键词
商业银行
信用风险
蒙特卡罗模拟
度量方法
commercial bank
credit risk
Monte Carlo simulation
measurement method
