VaR for Loan Portfolio in Uncertain Environment

被引：0
|
作者：
Ning, Yufu [1 ]
Wang, Xiao [1 ]
Pan, Dongjing [2 ]
机构：
[1] Shandong Youth Univ Polit Sci, Sch Informat Engn, Jinan 250103, Peoples R China
[2] Dezhou Univ, Sch Informat Management, Dezhou 253023, Peoples R China
来源：
2014 SEVENTH INTERNATIONAL JOINT CONFERENCE ON COMPUTATIONAL SCIENCES AND OPTIMIZATION (CSO) | 2014年
关键词：
VaR (value at risk); Loan Portfolio; Uncertain Variable; Uncertain Simulation;
D O I：
10.1109/CSO.2014.158
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
As a risk measure method, VaR (value at risk) has been applied widely in many domains. This paper researches the VaR measure way in uncertain environment, and applies it in loan portfolio. When all the return rates are the special uncertain variables, we can solve the crisp equivalents of VaR for loan portfolio. When return rates are generic uncertain variables, uncertain simulation is designed to calculate the VaR. Finally, numerical examples are given to illustrate the feasibility and effectiveness of the proposed method.
引用
收藏
页码：294 / 297
页数：4
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