摘要
将Copula函数应用于信用风险经济资本计量模型中,并进行实证研究。基于Copula理论的经济资本计量模型解决了由不同行业贷款所组成的贷款组合相关性结构的拟合问题。准确地反映了贷款组合的非违约风险暴露,同时完善了银行的内部评级体系。
Copula function is applied to economic capital measurement model for credit risk,the real diagnosis of analysis is carried on.The economic capital measurement model basing on Copula settles the correlation structure fitting problem of loan portfolio which is consisted of loans from different industries.The exposure to non-default risk of loan portfolio is reflected accurately,at the same time IRB of banks has been improved.
出处
《科学技术与工程》
2011年第17期4112-4116,共5页
Science Technology and Engineering
