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- P Morgan (1997) based on Var, the KMV model based upon option theories established by KMV Company, and through the Credit Risk Model developed by the Swiss Credit Bank based on the insurance calculating methods. P Morgan(1997)建立的以Var为基础的信用风险度量模型(Credit Metrics),KMV公司建立的以期权理论为基础的KMV模型和瑞士信贷银行建立的以保险精算方法为基础的Credit Risk模型,对住房信贷的风险进行分析。
- This paper investigated the current credit risk models and proposed the modified KMV model to measure the credit risk in china. 本文首先论述了国际通用的各信用风险模型的适用条件,提出改进的KMV模型作为度量我国不良资产证券化信用风险的模型。
- Next, investigated the current credit risk models and proposed the modified KMV model to measure the credit risk in china. 进而提出改进的KMV模型作为度量我国不良资产证券化信用风险的模型,然后同时提出了计算其违约概率的方法。
- Responding to the BASEL II IRB approaches, commercial banks and scholars in China have made some researches on the quantitative model to evaluate credit risk models. 为响应新巴塞尔资本协议对信用风险的内部评级的要求,我国商业银行和学者也已经开始研究和借鉴西方商业银行成功应用的信用风险度量模型。
- Patricia Jackson,William Perraudin,Regulatory implications of credit risk modelling Journal of Banking &finance,24(2000)1-14. 高全胜.;金融风险计量理论前沿与应用[J]
- Pricing of convertible bonds based on credit risk model 基于信用风险模型的可转换债券定价研究
- Credit Risk Models and the Basel Accords 信用风险模型与巴塞尔协议
- A Comparative Anatomy of Banks'Credit Risk Models 现代银行各类信用风险管理模型的比较与剖析
- On the Adjustment of Transition Matrices in Credit Risk Models 信用风险模型中转移矩阵的调整问题
- Will Credit Risk Weigh Down Debt Markets? 投资者对信贷风险的担心正在影响金融业?
- Principles for the Management of Credit Risk, Sep. 信用风险管理原则。
- We present a risk model with Poisson and Erlang (n) processes. 三.;引入一类具有Poisson过程和Erlang(n)过程的风险模型。
- credit risk model 信用风险模型
- He's a bad credit risk(= he is unlikely to pay the money later). 他有欠账不还的危险。
- Banking - Customer affinity analysis, credit risk analysis. 银行客户关系分析,信用风险分析。
- The second is the rating agencies, the new arbiters of credit risk. 第二股力量是评级机构,信贷风险新的仲裁者。
- This dissertion mainly study the Erlang(2) risk model perturbed by diffusion . 本学位论文主要研究带干扰的Erlang(2)风险模型。 讨论了破产前瞬间赢余分布,破产时赤字分布,以及破产前瞬间赢余和破产时赤字的联合分布等几个重要的量。
- Sparre Andersen risk model is put forward based on the classic risk model by E. Sparre Andersen风险模型是由E.
- Based on the reality of commercial banks in China at present, a credit risk assessment model is built based on the analysis frame of decision tree C4.5 algorithm. 摘要结合我国商业银行的实际,基于数据挖掘中决策树C4.;5算法的分析框架建立了商业银行的信用风险评估模型,通过此模型可以根据贷款企业的财务指标,得出企业是否违约的分类。
- Objective: To study a bivariate risk model with variable premium rate. 目的研究一类可变保费的双险种风险模型。