不确定环境下贷款组合的VaR

2014 Seventh International Joint Conference on Computational Sciences and Optimization Pub Date : 2014-07-04 DOI:10.1109/CSO.2014.158

Yufu Ning, Dongjing Pan, Xiao Wang

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引用次数: 2

摘要

作为一种风险度量方法，VaR (value at risk)在许多领域得到了广泛的应用。本文研究了不确定环境下VaR的度量方法，并将其应用于贷款组合。当所有收益率都是特殊的不确定变量时，我们可以求解贷款组合VaR的清晰等价物。当收益率为一般不确定变量时，设计不确定仿真计算VaR，最后通过数值算例说明了所提方法的可行性和有效性。

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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VaR for Loan Portfolio in Uncertain Environment

As a risk measure method, VaR (value at risk) has been applied widely in many domains. This paper researches the VaR measure way in uncertain environment, and applies it in loan portfolio. When all the return rates are the special uncertain variables, we can solve the crisp equivalents of VaR for loan portfolio. When return rates are generic uncertain variables, uncertain simulation is designed to calculate the VaR. Finally, numerical examples are given to illustrate the feasibility and effectiveness of the proposed method.

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来源期刊

2014 Seventh International Joint Conference on Computational Sciences and Optimization

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