Release Time:2022-07-01  Hits:

Indexed by: Journal Article

Date of Publication: 2022-06-29

Journal: 管理评论

Institution: 经济管理学院

Volume: 19

Issue: 2

Page Number: 3-7

ISSN: 1003-1952

Abstract: This paper makes an economic capital model using actuary theory and
   describes how the economic capital model can be applied in ascertaining
   portfolio risk of loan. Then, we improve CSFP Model in two aspects: when
   we ascertain the frequency of default, we use negative binomial
   distribution to substitute Poisson distribution so that the model can
   measure the data better; when we ascertain the loss distribution of
   default, we use T-distribution to substitute normal distribution. Then,
   the improved model can better measure the portfolio risk of loan.

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