摘要
在描述商业银行零售资产业务特征的基础上,运用特征函数法对其聚合后的信用风险进行建模分析,结果表明,在违约速率不变和可变的情况下,商业银行聚合信用风险的损失分布都有完整的解析表达式。
On the basis of describing the characteristics of retail business of commercial banks, this paper sets up model to analyze aggregation credit risk by operating characteristic function method. The result shows, no matter the default rates are fixed or not, the loss distribution of the aggregation credit risk has a complete analytic expression.
出处
《财经理论与实践》
CSSCI
北大核心
2009年第2期24-27,共4页
The Theory and Practice of Finance and Economics
关键词
商业银行
零售业务
信用风险
特征函数
Commercial Bank
Retail Business
Credit Risk
Characteristic Function
