DocumentCode
2966744
Title
Assessment Research of Credit Risk in Commercial Bank Based on Fuzzy-VaR
Author
Wang Baosen ; Cao Zhiwei ; Wang Lifang
Author_Institution
Sch. of Econ., Beijing Wuzi Univ., Beijing, China
fYear
2011
fDate
12-14 Aug. 2011
Firstpage
1
Lastpage
4
Abstract
This research introduces the fuzzy mathematics in the VaR foundation, to express the indefinite factor with the membership function. Thus makes the research of indefinite factor change to the quantitative analysis from the qualitative analysis, so the commercial bank´s credit risk measurement is more objective and realistic.
Keywords
autoregressive processes; banking; fuzzy set theory; risk management; commercial bank; credit risk measurement; fuzzy-var; membership function; Analytical models; Fuzzy sets; Investments; Mathematical model; Reactive power; Risk management;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science (MASS), 2011 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-6579-8
Type
conf
DOI
10.1109/ICMSS.2011.5998368
Filename
5998368
Link To Document