统计研究 ›› 2003, Vol. 20 ›› Issue (6): 39-5.

• 论文 • 上一篇    下一篇

贷款组合信用风险VaR仿真计算的一种优化方法

邓云胜  任若恩    

  1. 北京航空航天大学
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2003-06-15 发布日期:2003-06-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2003-06-15 Published:2003-06-15

关键词: 信用风险VaR, 仿真优化, 重要性抽样方法

Abstract: This paper presents the principle of Monte Carlo optimize calculation of credit risk VaR for loanportfolio using Importance Sampling technique. Based on Matlab language, simulation experiments arecarried out and the result shows this approach can effectively reduce the numher of simulation runs andimprove the precision of parameter estimation.