Research of the Commercial BanksCredit Risk Based on CPV Model
Based on CPV model,this paper select from the business climate index,the RMB long-term lending rate,the RMB real effective exchange rate,financial institutions, which were fitted to the Chinese commercial bank credit risk metric and forecasting.Studies have shown that both of the real effective exchange rate of RMB and RMB loans has a greater impact on the loan default rates,and loan default rates are negatively correlated.
Commereial bank credit defaults Credit Portfolio View model Logistic regression Credit risk prediction
Jia-sheng Cao Fei-long Li
Dept. of Statistics and Finance University of Science and Technology of China Hefei, China Dept. of Statistics and Finance University of Science and Tcchnology of China Hcfei, China
国际会议
The 10th International Conference on Intelligent Technologies(第十届智慧科技国际会议 InTech09)
桂林
英文
156-160
2009-12-12(万方平台首次上网日期,不代表论文的发表时间)