VaR在消费信贷风险管理中的应用

Application of VaR in Consumer Credit Risk Management

随着我国消费信贷的发展 ,如何提高消费信贷风险管理的技术水平将成为我国商业银行在发展消费信贷业务过程中所面临的首要问题。 Va R方法以概率论为基础 ,运用现代统计方法 ,对金融资产或资产组合的风险价值进行评估。J.P摩根“信用度量方法”通过考察借款人信用状态的变迁 (信用评级转移矩阵 )来评估单项资产或资产组合的风险价值 ,因而和传统信用风险管理方法相比 ,Va R方法更具科学性和适用性。本文通过一个实例探讨了基于 J.P摩根’信用度量方法”之上的 Va R方法在消费信贷风险管理中的应用 ,为商业银行消费信贷风险管理提供了一个新的思路和相应的政策建议。

With the development of consumer credit in our country, it is a main issue as how to promote the technical level of consumer credit risk management in the course of the development of our state-owned commercial banks' consumer credit. VaR is used in evaluating a single financial asset or portfolio by the modern statistics based on probability. J. P. Morgan's credit Metrics is used to evaluate a single asset or portfolio credit risk by considering the migration of the credit state. So the idea is more scientific and adaptive than the traditional credit risk management. In this paper, we discuss the application of VaR in consumer credit risk management based on J.P. Morgan's credit Metrics by an example, and put up a new management idea for our banks in controlling the consumer credit risk. After all, several proposals are put forward concerning the presentation and prevention of consumer credit risk in our country.