Research of the Commercial BanksCredit Risk Based on CPV Model

摘要：

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.

关键词： Commereial bank credit defaults Credit Portfolio View model Logistic regression Credit risk prediction

作者: Jia-sheng Cao Fei-long Li

作者单位: 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

会议类型: 国际会议

会议名称: The 10th International Conference on Intelligent Technologies(第十届智慧科技国际会议 InTech09)

会议地点: 桂林

会议语种:英文

页码: 156-160

在线出版日期: 2009-12-12（万方平台首次上网日期，不代表论文的发表时间）