Research of the Commercial Banks' Credit Risk Based on CPV Model

被引：0
|
作者：
Cao, Jia-sheng [1 ]
Li, Fei-long [1 ]
机构：
[1] Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China
来源：
PROCEEDING OF THE 10TH INTERNATIONAL CONFERENCE ON INTELLIGENT TECHNOLOGIES | 2009年
关键词：
Commercial bank credit defaults; Credit Portfolio View model; Logistic regression; Credit risk prediction;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Based on CPV model, this paper select from the business climate index, the RMB long-term lending rate, the RMB real effective exchange rate, financial institutions, which were fitted to the Chinese commercial bank credit risk metric and forecasting. Studies have shown that both of the real effective exchange rate of RMB and RMB loans has a greater impact on the loan default rates, and loan default rates are negatively correlated.
引用
收藏
页码：156 / 160
页数：5
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