Bank-Enterprise Project Risk Evaluation Model Based on Risk Overlay
When a bank wants to invest the project that another forerunner banks has invested, the bank can judge the investment risk and make the decision independently by considering the forerunner banks risk and project itself risk comprehensively. It refers to bankenterprise project risk measurement problem. Here the forerunner bank is named counterparty or trading partners. Because it is impossible for bank to master all project information of different countries, different regions or different areas, it is important for all the commercial bank to assess the enterprise project risk by the counterparty banks management style and risk. This research established bank-enterprise project risk measurement model based on the risk overlay in the condition that the bank can not master project information completely. The feature of the paper lies in that the counterparty risk and enterprise project risk can not add directly when they are linear correlation according to the standard method of risk overlay. We define the counterparty risk as the first random variables, the project risk which subtracting correlation part as the second random variables. We reveal that the project overall risk equals the counterparty risk plus enterprise project risk, minus correlation part by proving that the correlation coefficient of two random variables is 0.
Xu Zhandong Chi Guotai
School of Management, Dalian University of Technology School of Mathematics and Quantitative Economi School of Management, Dalian University of Technology Dalian, P.R.China
国际会议
International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)
武汉
英文
1-4
2011-08-12（万方平台首次上网日期，不代表论文的发表时间）