【摘要】 金融机构对贷款组合风险管理的通常方法是在VaR框架下,用蒙特卡罗模拟模拟技术估计期末贷款组合价值分布来计算最大损失。但模拟技术会产生极大的计算工作量。提出了运用计算机模拟技术对贷款组合信用风险(Value at Risk,VaR)的蒙特卡罗模拟进行简化的方法,把一个贷款组合在每个信用评级级别划分为子贷款组合,用同类子贷款组合的非预期损失来获得不同类子贷款组合的最大损失。以期节省运行时间,提高计算效率。模拟结果表明利用该方法计算贷款组合信用风险VaR效率高,能够较准确地获得信用风险值。更多还原

【Abstract】 Risk management of portfolios is usually to calculate the greatest loss under VaR frame. Most financial institutions calculate the greatest loss with the simulation technology of Monte Carlo. However, simulation technology will produce great amount of calculation. A simple Monte Carlo Simulation of Credit Risk VaR for Loan was presented to improve calculating efficiency that approximates the maximum loss with minimal simulation burden. This method divides a portfolio into sub-portfolios at each credit rating level and calculates the maximum loss of each sub-portfolio. The maximum loss for a heterogeneous sub-portfolio is then approximated by unexpected loss of the homogeneous sub-portfolio. Simulation experiments were carried out, and the result showed that the method was more efficient.更多还原