| Conditional Value-at-Risk and Its Use in Credit Risk Measurement of Banks |
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| 作者姓名： | GU Xu PU Yong-jian YONG Shao-hong |
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| 摘 要： | Credit risk, the major risk of bank, is more and more intense during the period of economic restructuring in China. In view of the flaw of present risk measurement system, Conditional Value-at-Risk is used for the credit risk measurement which is better than Value-at-Risk. This paper creates the model ,while gives the method and procedure for solving it. So CVaRof credit combination is produced, which is just the early warning value of credit risk. At last, it is concluded that the CVaRrisk measurement is too difficult to use widely at present in china, then some advice is provided.
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| 关 键 词： | credit risk Value-at-Risk Conditional Value-at-Risk |
Conditional Value-at-Risk and Its Use in Credit Risk Measurement of Banks |
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| GU Xu,PU Yong-jian,YONG Shao-hong.Conditional Value-at-Risk and Its Use in Credit Risk Measurement of Banks[J].Storage & Process,2004(11):125-127133. |
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| Authors: | GU Xu PU Yong-jian YONG Shao-hong |
| |
| Abstract: | Credit risk, the major risk of bank, is more and more intense during the period of economic restructuring in China. In view of the flaw of present risk measurement system, Conditional Value-at-Risk is used for the credit risk measurement which is better than Value-at-Risk. This paper creates the model ,while gives the method and procedure for solving it. So CVaRof credit combination is produced, which is just the early warning value of credit risk. At last, it is concluded that the CVaRrisk measurement is too difficult to use widely at present in china, then some advice is provided. |
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| Keywords: | credit risk Value-at-Risk Conditional Value-at-Risk |
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