Election of Credit Risk Measurement Models under Business Cycles

摘要：

Because the banks credit risk measurement model with CM as a representative does not take the impact of business cycle into consideration, this paper discusses the application of macro-simulation methods (mainly CPV model) in commercial banks based on CM, and evaluates the advantages and disadvantages of CPV model.

关键词： credit risk economic cycle CPV model procyclicality

作者: LI Jianwei NI Aixia HAN Chunlei

作者单位: Peninsula Economic Academy, Shandong Institute of Business and Technology, Yantai, P.R.China, 264005 College of Foreign Languages, Shandong Institute of Business and Technology, Yantai, P.R.China, 2640 School of Health Management, Binzhou Medical University, Yantai, P.R.China, 264003

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 606-609

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）