Study of Application of Structured Monte Carlo Approach to Creditrisk Measurement

摘要：

This paper mainly studies the approach of credit-risk measurement. There has been a lack of effective approaches of measuring credit-risk for long due to its own characteristics. In this paper, the writer begins with the relationship between the market value of an enterprises assets and the possibility of the loss of a commercial banks loan and calculates the VaR value of a business loan by using the Structured Monte Carlo approach.

关键词： credit-risk VAR (value at risk) structured monte carlo accroach

作者: PENG Tong DING Shaofang LUO Weicheng

作者单位: School of Economics and Management, North China University of Technology, Beijing, P.R.China, 100144 Beijing Vocational Colleges of Electronic Science, Beijing, P.R.China, 100029

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: 126-130

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）