| 中小企业供应链融资的风险度量--基于R银行交易数据的研究 |
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| 引用本文： | 赵杰.中小企业供应链融资的风险度量--基于R银行交易数据的研究[J].金融发展研究,2014(8):28-32. |
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| 作者姓名： | 赵杰 |
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| 作者单位： | 中国人民银行日照市中心支行,山东 日照,276800 |
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| 摘 要： | 本文以某城市商业银行开展汽车行业供应链融资数据为样本，运用信用计量模型（CreditMetrics）进行信贷资产组合的信用风险度量模拟，将供应链融资中涉及的主要风险和收益转化成整条供应链融资资产组合的在险价值，探讨城市商业银行运用该模型进行信贷风险量化管理的可行路径。
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| 关 键 词： | 供应链融资 风险管理 CreditMetrics模型 |
Risk Measurement of SME Supply Chain Financing-Based on Study of Transaction Data of R Bank |
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| Zhao Jie.Risk Measurement of SME Supply Chain Financing-Based on Study of Transaction Data of R Bank[J].Journal of Financial Development Research,2014(8):28-32. |
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| Authors: | Zhao Jie |
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| Institution: | Zhao Jie (PBCRizhaoSub-branch, Shandong Rizhao 276800) |
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| Abstract: | This paper uses the data of R Bank’s supply chain financing business in automotive industy as an example, and employs the CreditMetrics model to simulate the credit risk measurement of the credit portfolio. It turns the major risks and profits into the value at risk of the asset portfolio in the supply chain financing and explores the feasible path of using CreditMetrics model to quantify credit portfolio risk in city commercial banks. |
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| Keywords: | supply chain financing risk management CreditMetrics model |
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