点击次数：

发表时间： 2006-01-01

发表刊物： 系统工程理论与实践

所属单位： 经济管理学院

期号： 8

页面范围： 1-16,41

ISSN号： 1000-6788

摘要： Using skewness and kurtosis to adjust the critical number of firm's credit grade migration, using semivariance absolute deviation method to measure loan portfolio risks, a portfolio optimization model of banking asset based on the adjusted credit grade and the semivariance absolute deviation is set up. The characteristics of this paper lie on following two aspects. Firstly, this paper adjusts the critical number of firm's credit grade migration of the normal distribution supposition with skewness and kurtosis, so it changes the unreasonable phenomena which taken abnormal distribution yield as normal distribution while deciding critical number of firm's credit grade. The measure precision of loan portfolio risk is improved. Secondly, this paper introduces the semivariance absolute deviation method to measure the loan portfolio risk. It changes the unreasonable idea of taking "excess profit" as the risk in Deviation or Absolute Deviation method of current research. It measures the loan portfolio risk more accurately.

备注： 新增回溯数据