Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Journal of Beijing Institute of Technology(Social Sciences Edition)》 2006-03
Add to Favorite Get Latest Update

Research on the Correlation Problem of the Portfolio Models for Credit Risk

REN Yu-hang1,XIA En-jun1,CHENG Gong2(1.School of Economics and Management Beijing Institute of Technology,Beijing 100081;2.School of Management Tianjin University,Tianjin 300072)  
Credit risk is one of the major risks confronting the banking sector in China,while credit risk management based on the portfolio theory has become a common choice worldwide.Two key problems in this theory include portfolio credit risk quantification and the treatment of correlation problem.This paper analyses the latter one systematically and scrutinizes different treatment methods of correlation problems in different risk quantification models.It expounds the deficiencies of these models and points out that COPULA is the research trend of credit risk management models,while providing useful reference of credit risk management of the banking sector in China.
【CateGory Index】: F224
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
【References】
Chinese Journal Full-text Database 1 Hits
1 CHEN Lin,ZHOU Zong-fang (School of Management and Economics,University of Electronic Science and Technology of China,Chengdu 610054,China);The Research on Measure Default Correlation of Related Corporations Controlled by an Enterprise Group[J];Chinese Journal of Management Science;2010-05
【Citations】
Chinese Journal Full-text Database 4 Hits
1 PENG Jian gang, XIANG Shi, WANG Jian wei (College of Finance,Hunan University,ChangSha,Hunan 410079,China);The New Basel Accord Internal Ratings-Based Approach's Basic Assumptions and Its Impact on the Banking System of China[J];The Theory and Practice of Finance and Economics;2005-01
2 WEI Yan-hua,ZHANG Shi-ying (School of Management,Tianjin University,Tianjin 300072,China);Dependence Analysis of Finance Markets:Copula-GARCH Model and Its Application[J];Systems Engineering;2004-04
3 Shen Peilong Ren Ruoen;The Anatomy of the Capital Requirements Calculations in the New Basle Capital Accord[J];Journal of Finance;2002-06
4 Zhang Yaoting;What Co-relative Indicators Should We Employ[J];Statistical Research;2002-09
【Co-references】
Chinese Journal Full-text Database 10 Hits
1 HOU Guang-ming,ZHANG Ran (School of Management and Economics, Beijing Institute of Technology, Beijing100081, China);Modeling Credit Risk With Structural Model[J];Journal of Beijing Institute of Technology;2005-06
2 ZHU Da-di,PENG long (School of Economics and Management,BUPT,Beijing 100876,China);A study of the equilibrium between interest rate selection and credit extension in banks[J];Journal of Beijing University of Posts and Telecommunications(Social Sciences Edition);2007-02
3 ZHANG Jun-yan, HAN Wen-xiu (School of Public Management Tianjin university, Tianjin 300072,China);Exploration on Urban Water Security and Its Countermeasures[J];Journal of University of Science and Technology Beijing;2005-02
4 YANG Cheng-yan(School of Management,Changsha University of Science and Technology,Changsha,Hunan 410076,China);Related Trade and Standardization Inside Chinese Enterprise Group[J];Commercial Research;2006-07
5 LIU Xue-mei(College of Economics &Management,Northwest University,Xi'an 710069,China);The New Tendency of the International Bank's Credit Risk Management and Its Lessons to Our Country[J];Journal of Chongqing University(Social Science Edition);2006-02
6 YAN Shui yu,WANG Xiang rong (Department of Environmental Science and Technology,East China Normal University,Shanghai 200062);Preliminary Study on the Roles and Applied Ways of Urban River in Urban Ecological Construction[J];URBAN ENVIRONMENT & URBAN ECOLOGY;1999-06
7 HUANG Guang yu (Chongqing Unviersity,Chongqing 400045,China);Evolution of Eco-city in China[J];Urban Environment & Urban Ecology;2001-03
8 ZHANG Kun min 1,WEN Zong guo 2 (1.State Environmental Protection Administration, Beijing 100035,China; (2.Dept. of Environmental Sciences and Engineering, Tsinghua University, Beijing 100084,China);Progress on Indicators of Urban Ecologically Sustainable Development[J];Urban Environment & Urban Ecology;2001-06
9 WANG Hui zhen 1,LI Xian fa 2 (1.Beijing Institute of Civil Engineering and Architecture,Beijing 100044,China; 2.Beijing Municipal Research Institute of Environmental Protection,Beijing 100037,China);Pollution of Runoff from Beijing Urban Area and Its Control[J];Urban Environment & Urban Ecology;2002-02
10 WEI Yanchang1,2,MIAO Hong1,OUYANG Zhiyun1,SHI Juntong2,WANG Xiaoke1 AS Beijing100085 China; 2.College of Agronomy, Northwest Sci-tech University of Agriculture and Forestry, Shanxi712100, China);Application and Assessment of Ecological Water Demand of Urbans[J];Urban Environment & Urban Ecology;2003-S1
【Secondary Citations】
Chinese Journal Full-text Database 4 Hits
1 Peng Jiangang Zhou Hongwei( College of Finance, Hunan University, Changsha 410079 );Financial Support for the Growth Pole—the Strategic Choice of City Commercial Bank Sustainable Development in China[J];The Theory and Practice of Finance and Economics;2003-02
2 Shen Peilong Ren Ruoen;The Anatomy of the Capital Requirements Calculations in the New Basle Capital Accord[J];Journal of Finance;2002-06
3 Zhang Yaoting;Copula Technique and Financial Risk Analysis[J];Statistical Research;2002-04
4 Zhang Yaoting;What Co-relative Indicators Should We Employ[J];Statistical Research;2002-09
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved