Credit portfolio concentration risk measurement models

摘要：

After the subprime crisis, banks have paid intense attention to credit portfolio concentration, for risk reduction or controlling the difference between regulatory capital and economic capital. So this paper teases out three major credit portfolio concentration risk measurement models, and makes a detailed comparative and applicable analysis of them, in order to provide a theoretical reference for related researchers.

关键词： concentration risk factor adjustmeent dispersion factor binomial expansion technique

作者: Li Wenting

作者单位: College of Business Administration Binzhou vocational college Binzhou, China

会议类型: 国际会议

会议名称: 2012 4th International Conference on Intelligent Human-Machine Systems and Cybernetics 第4届智能人机系统与控制论国际会议 IHMSC 2012

会议地点: 南昌

会议语种:英文

页码: 173-176

在线出版日期: 2012-08-26（万方平台首次上网日期，不代表论文的发表时间）