VaR方法在商业银行信用风险度量中的应用--基于行为金融学

信用风险是商业银行面临的重要风险之一，当前信用风险度量的主流方法多侧重通过客观因素估计信用风险，忽视主观因素对投资收益的影响，这限制了信用风险度量的准确性。基于行为金融学研究成果，结合信用风险特征，通过VaR方法量化风险，探索商业银行信用风险度量新思路。

VaR Method Applied to the Measure of Commercial Banks’ Credit Risk--Based on Behavioral Finance

Credit Risk is one of important risk which commercial banks are faced with.Now the main stream in the measure of credit risk tends to objective factors while ignoring subjective factors, which limits the accuracy in credit risk qualification.For the purpose of exploring a new way of measuring credit risk in commercial banks,we establish a VaR(Value at Risk) model to qualify risk based on research results of behavioral finance,coupled with features of credit risk.