Credit risk is one of the main risks the commercial banks faces all over the world,especially in the risk structure of the banks of China.In order to control credit risk more scientifically,we shall connect the qualit...Credit risk is one of the main risks the commercial banks faces all over the world,especially in the risk structure of the banks of China.In order to control credit risk more scientifically,we shall connect the qualitative analysis and the quantitative analysis.Put forward by J.P.Morgan Credit Metrics model is the application of the VaR in the field of credit risk,showing great advantage in quantitative bonds and credit risk of loan.This paper studies the Credit Metrics model and analyzes the hypothesis and framework of this model,attempting to explore the application of the model in China in order to promote the realization of the risk quantification of the commercial banks of China.展开更多
A number of risks exist in commercial housing,and it is critical for the government,the real estate industry,and consumers to establish an objective early warning indicator system for commercial housing risks and to c...A number of risks exist in commercial housing,and it is critical for the government,the real estate industry,and consumers to establish an objective early warning indicator system for commercial housing risks and to conduct research regarding its measurement and early warning.In this paper,we examine the commodity housing market and construct a risk index for the commodity housing market at three levels:market level,the real estate industry and the national economy.Using the Bootstrap aggregating-grey wolf optimizer-support vector machine(Bagging-GWO-SVM)model after synthesizing the risk index by applying the CRITIC objective weighting method,the commercial housing market can be monitored for risks and early warnings.Based on the empirical study,the following conclusions have been drawn:(1)The commodity housing market risk index accurately reflect the actual risk situation in Tianjin;(2)Based on comparisons with other models,the Bagging-GWO-SVM model provides higher accuracy in early warning.A final set of suggestions is presented based on the empirical study.展开更多
文摘Credit risk is one of the main risks the commercial banks faces all over the world,especially in the risk structure of the banks of China.In order to control credit risk more scientifically,we shall connect the qualitative analysis and the quantitative analysis.Put forward by J.P.Morgan Credit Metrics model is the application of the VaR in the field of credit risk,showing great advantage in quantitative bonds and credit risk of loan.This paper studies the Credit Metrics model and analyzes the hypothesis and framework of this model,attempting to explore the application of the model in China in order to promote the realization of the risk quantification of the commercial banks of China.
基金This research was funded by the National Natural Science Foundation of China,Grant Number 81973791.
文摘A number of risks exist in commercial housing,and it is critical for the government,the real estate industry,and consumers to establish an objective early warning indicator system for commercial housing risks and to conduct research regarding its measurement and early warning.In this paper,we examine the commodity housing market and construct a risk index for the commodity housing market at three levels:market level,the real estate industry and the national economy.Using the Bootstrap aggregating-grey wolf optimizer-support vector machine(Bagging-GWO-SVM)model after synthesizing the risk index by applying the CRITIC objective weighting method,the commercial housing market can be monitored for risks and early warnings.Based on the empirical study,the following conclusions have been drawn:(1)The commodity housing market risk index accurately reflect the actual risk situation in Tianjin;(2)Based on comparisons with other models,the Bagging-GWO-SVM model provides higher accuracy in early warning.A final set of suggestions is presented based on the empirical study.
