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论文类型： 会议论文

发表时间： 2011-08-12

收录刊物： EI、Scopus

摘要： When a bank wants to invest the project that another forerunner banks has invested, the bank can judge the investment risk and make the decision independently by considering the forerunner bank's risk and project itself risk comprehensively. It refers to bankenterprise project risk measurement problem. Here the forerunner bank is named counterparty or trading partners. Because it is impossible for bank to master all project information of different countries, different regions or different areas, it is important for all the commercial bank to assess the enterprise project risk by the counterparty bank's management style and risk. This research established bank-enterprise project risk measurement model based on the risk overlay in the condition that the bank can not master project information completely. The feature of the paper lies in that the counterparty risk and enterprise project risk can not add directly when they are linear correlation according to the standard method of risk overlay. We define the counterparty risk as the first random variables, the project risk which subtracting correlation part as the second random variables. We reveal that the project overall risk equals the counterparty risk plus enterprise project risk, minus correlation part by proving that the correlation coefficient of two random variables is 0. ? 2011 IEEE.