The paper introduces Credit Metric of JP Morgan to the research of credit risk of commercial banks, calculates the credit risk VaR of commercial banks of our country by stylebook analysis and evaluates the credit risk and capital requirement of them.
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- 本文將JP Morgan信用風(fēng)險計量法引入我國商業(yè)銀行信用風(fēng)險的研究,通過(guò)樣本分析對商業(yè)銀行信用風(fēng)險的var進(jìn)行測算,進(jìn)而對銀行的信用風(fēng)險狀況和資本要求進(jìn)行評估。
