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The Measure And Management Model Of Credit Risk

Posted on:2004-06-04Degree:MasterType:Thesis
Country:ChinaCandidate:Y H XiaoFull Text:PDF
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This article includes 6 parts. The first part defines the definition of finical risk and credit risk, analyzes the elemental reasons of the rapid development of current credit risk management. The second part summarizes the primary models with mathematic words and compares the principles , advantages and disadvantages of these models and introduce the actual performance of the models. The third part establish two models (Linear Probability Models and logic models) for the credit analysis of public companies . On the basis of these analysis, we shows that the two models give a good forecasting to the financial failure of public companies. The forth part tell about the use of group prediction in bank credit risk assessment, through the compare of three models , we conclude that group prediction method is better than other methods in credit risk assessment. The fifth part tell about how to measure the credit risk with VAR(value-at-risk)methods. Tell us the definition of VAR and calculation methods about VAR. The sixth part is the conclusion and the advises given from this article's analysis.
Keywords/Search Tags:Credit risk, default probability, risk value, model, matrix, credit grades,credit risk management, financial figure, VAR
PDF Full Text Request
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