统计研究 ›› 2005, Vol. 22 ›› Issue (6): 58-4.

• 论文 • 上一篇    下一篇

VaR方法在银行贷款风险评估中的应用

邹新月   

  1. 湖南科技大学
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2005-06-15 发布日期:2005-06-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2005-06-15 Published:2005-06-15

Abstract: Value-at-Risk model developed recently is a mathemetical medol to measure and monitor market risk. The article focuses on discussing calculate procedure and calculate method about applying VaR means for the bank loan risk in evaluation, we make clear differentiate both the Bank for International Settlements draw credit risk reserve and VaR means calculate bank loan risk value, find VaR means in application practicality value and extensity perspective in our bank loan risk for evaluation