商业银行资产额波动率的估计

The Estimation of Commercial Bank's Assets Volatility

本文假设银行的资产额遵循一个几何布朗运动,并在此基础上推导出银行资产波动率无偏估计的一般公式,最终利用中国建设银行的数据进行实例研究。

This article supposed that the assets of bank obey a geometric Brown Motio n and we also get the unbiased estimation of commercial bank assets volatility b ased on the assumption of the assets' process.In the end we use the data of Chin a Construction Bank to calculate the bank's assets volatility.