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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Ha Min Zhuang Xin-tian |
| Copyright Year | 2006 |
| Description | Author affiliation: Sch. of Bus. Adm., Northeastern Univ. (Ha Min; Zhuang Xin-tian) |
| Abstract | We study how does the commercial bank control the credit risk problem in the face of supervision of the laws and regulations and risks of the enterprise. We give the two-stage optimization models of the bank asset-liability structure and credit risk control. Taking bondage at the laws, regulations and administration rules of the bank and taking the objective at the maximization of surplus of assets, the first stage model gives the best proportional configuration of the assets arrangement. The second stage model gives the control model of credit risks taking the bondage at the survivor function based on the commercial age of enterprise and assets structure. Using loan risk degree to estimate risk distribution parameter, the risks of enterprise are joined to loan way to reflect the practical risk state of loan. According to the actual conditions of a bank asset-liability management, the calculation case is given |
| Sponsorship | Nat. Natural Sci. Found. of China Harbin Inst. of Technol. P.R. China |
| Starting Page | 1546 |
| Ending Page | 1551 |
| File Size | 5841617 |
| Page Count | 6 |
| File Format | |
| ISBN | 7560323553 |
| DOI | 10.1109/ICMSE.2006.314033 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2006-10-05 |
| Publisher Place | France |
| Access Restriction | Subscribed |
| Rights Holder | HARBIN INSTITUTE OF TECHNOLOGY |
| Subject Keyword | Parameter estimation Law Exponential distribution Government Asset-liability management Probability distribution Survivor function Asset management Credit risk Two-stage optimization Commercial age Risk management Bonding State estimation Business |
| Content Type | Text |
| Resource Type | Article |
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