商业银行组合风险量化管理方法研究

Research on measuring managing approach of portfolio risk in commercial banks

组合风险的量化管理是商业银行风险管理的发展趋势,对当今国际上最流行的能对组合风险进行量化管理的VaR和CreditMetrics方法作了具体的研究,分析了这两种方法在我国商业银行中应用存在的问题,并给出了几点建议。

Measuring portfolio risk is the trend of risk management in commercial banks.This paper thoroughly analyses the most fashionable VaR and CreditMetrics methods nowadays that can measure portfolipo risk.Finally,the paper analyses some questions in applying the two methods to Chinese commercial banks and gives some suggestions.