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
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;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998368
