摘要
在改进KMV模型、采用信用溢价直观度量银行信用风险的基础上,通过MonteCarlo模拟法估计12家样本银行信用风险的VaR和CVaR值,并与历史模拟法的度量结果进行比较。研究结果表明,历史模拟法高估了银行所面临的信用风险;在样本银行中,中国银行最容易发生极端信用事件,工商银行则相反。
This paper improves the KMV model, using credit risk premium to measure banks＇ credit risk intuitively, and then uses Monte Carlo simulation method to estimate 12 China＇s listed banks＇ VaR and CVaR. Based on that, it compares the results with those measured by historical simulation method and concludes that： i） historical simulation method overestimates the credit risks faced by the banks; ii） for the sample bank of Bank of China, the extreme credit events are most likely to occur, but for Industrial and Commercial Bank of China, the opposite is true.
出处
《管理学报》
CSSCI
北大核心
2012年第7期979-985,共7页
Chinese Journal of Management
基金
国家自然科学基金资助项目(70973145
71171201)
教育部新世纪优秀人才支持计划资助项目(NCET-11-0524)
