【摘要】 本文针对银行贷款组合中的信用风险,提出了贷款组合的盈余过程,得到了有限离散时间下的一个破产模型;并且利用该破产模型推导出单一贷款额结构和多个贷款额结构下的破产概率及其递归公式。此外,本文还探讨了破产概率与风险价值VaR的关系。更多还原

【Abstract】 Aiming at credit risk of loan portfolios in banks,this paper proposes a surplus process of a loan portfolio,and establishes a ruin model with finite and discrete time.Using this model,we derive the ruin probabilities and their recursive equations for the class with single loan amount and the class with multiple loan amounts.In addition,we discuss the relationship between ruin probability and VaR(Value-at-risk).更多还原