The Feasibility of Amended Creditmetrics Model’s Application of Commercial Bank in China

Xing Bi () and Feng Xue
Additional contact information
Xing Bi: Tianjin University
Feng Xue: Tianjin University

A chapter in Proceedings of 2013 4th International Asia Conference on Industrial Engineering and Management Innovation (IEMI2013), 2014, pp 811-820 from Springer

Abstract: Abstract The quantization of credit risk is always an important theme in Chinese financial sector. With the growth of Chinese economy, commercial banks increasingly need modern quantitative methods to manage credit risk. Creditmetrics model is a kind of quantitative methods which is very popular in developed countries. Though the credit rating system in our country is immature and the bonds market lacks mobility, but Chinese commercial banks need scientific quantitative methods to go with the developing of economy. While the amended Creditmetrics model provides a way for Chinese commercial bank to manage credit risk, so the study of application of amended Creditmetrics model in China is of practical significance.

Keywords: Amended Creditmetrics model; Credit risk; Chinese commercial bank; VaR (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-40060-5_78

Ordering information: This item can be ordered from
http://www.springer.com/9783642400605

DOI: 10.1007/978-3-642-40060-5_78

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().