| 商业银行零售资产业务的聚合信用风险模型 |
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| 引用本文： | 梁凌.商业银行零售资产业务的聚合信用风险模型[J].财经理论与实践,2009,30(2). |
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| 作者姓名： | 梁凌 |
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| 作者单位： | 湖南大学金融学院,湖南,长沙,410079 |
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| 摘 要： | 在描述商业银行零售资产业务特征的基础上,运用特征函数法对其聚合后的信用风险进行建模分析,结果表明,在违约速率不变和可变的情况下,商业银行聚合信用风险的损失分布都有完整的解析表达式.
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| 关 键 词： | 商业银行 零售业务 信用风险 特征函数 |
Aggregation Credit Risk Model of Retail Business of Commercial Banks |
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| LING Liang.Aggregation Credit Risk Model of Retail Business of Commercial Banks[J].The Theory and Practice of Finance and Economics,2009,30(2). |
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| Authors: | LING Liang |
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| Institution: | College of Finance;Hunan University;Changsha;Hunan 410079;China |
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| Abstract: | On the basis of describing the characteristics of retail business of commercial banks,this paper sets up model to analyze aggregation credit risk by operating characteristic function method.The result shows,no matter the default rates are fixed or not,the loss distribution of the aggregation credit risk has a complete analytic expression. |
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| Keywords: | Commercial Bank Retail Business Credit Risk Characteristic Function |
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