商业银行信用风险要素传导模型研究

2008 International Conference on Information Management, Innovation Management and Industrial Engineering Pub Date : 2008-12-19 DOI:10.1109/ICIII.2008.112

Cunbin Li, Lin Ding

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引用次数: 0

摘要

本文在对商业银行信用风险研究的基础上，立足于银行风险管理，提出了信用风险要素传导模型。建立并给出了信息化环境下商业银行信用风险要素传递的随机动态传递链。根据风险要素的概率密度函数，探讨商业银行对企业贷款过程中风险要素的转移和对银行预期收益的影响。并给出了商业银行预期收益的定量表征。本文的研究对于商业银行规避和控制贷款风险，辅助贷款决策，提高贷款回收率具有重要的实际应用价值。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Research on Commercial Bank Credit Risk Elements Transmission Model

This article bases on the commercial bank credit risk research, has a foothold of the bank risk management and proposes the credit risk elements transmission model. The random dynamic transmission chain of the commercial banks credit risk elements transmission under information-based environment is established and given. According to the probability density function of risk elements, how risk elements transfer and affect the bank expected income in the course of commercial banks loan to enterprises are pursued. And the quantitative characterization of the commercial bank expected income is given. The study of this article has important practical applications for the commercial bank to avoid and control risk of loans, assisting loanspsila decision and improving the loan recovery rate.

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2008 International Conference on Information Management, Innovation Management and Industrial Engineering

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