| 基于Bootstrap的信用风险度量 |
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| 引用本文： | 段德峰,王建华,宋鸿芳. 基于Bootstrap的信用风险度量[J]. 武汉理工大学学报(信息与管理工程版), 2011, 33(2): 328-330. DOI: 10.3963/j.issn.1007-144X.2011.02.040 |
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| 作者姓名： | 段德峰 王建华 宋鸿芳 |
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| 作者单位： | 武汉理工大学理学院,湖北,武汉,430070 |
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| 基金项目： | 中央高校基本科研业务费专项资金资助项目 |
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| 摘 要： | 针对目前主流的风险度量模型大都建立在已给定的或假设的样本以及模型参数分布假设的基础上,但在实际中有效大样本数据又很难获取,且可供参考的有效历史数据更少,造成误差比较大,甚至会无法计算的问题,介绍了一种新的风险度量方法,即基于Bootstrap的风险度量法,特别是在样本很小的情况下,该方法能更好地管理信用风险。
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| 关 键 词： | 信用风险 Bootstrap KMV模型 |
Bootstrapbased Measurement of Credit Risk |
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| DUAN Defeng,WANG Jianhua,SONG Hongfang. Bootstrapbased Measurement of Credit Risk[J]. Journal of Wuhan University of Technology(Information & Management Engineering), 2011, 33(2): 328-330. DOI: 10.3963/j.issn.1007-144X.2011.02.040 |
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| Authors: | DUAN Defeng WANG Jianhua SONG Hongfang |
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| Affiliation: | DUAN Defeng: Postgraduate,School of Science,WUT,Wuhan 430070,China.,WANG Jianhua,SONG Hongfang |
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| Abstract: | Current mainstream of the risk measurement models are largely built on given or assumed sample,whose parameters distribution is known.But in practice,it is difficult to capture a large effective data of the sample,and effective historical data for reference are much less,resulting in large errors,or even incalculable.A new method of risk measurement base Bootstrap was presented.The method can be used to control credit risk in a more effective way,especially in the case of small samples. |
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| Keywords: | Bootstrap |
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