The Measurement Of Credit Risk Based On VAR

This article in view of the current international advanced credit risk management technology, unifies our country commercial bank credit risk management the present situation, first introduced risk measurement technology newest progress - risk value (VAR) the computation and is suitable the condition, then the review credit risk management technology development, studies the VAR technology applies in the credit risk measure method, discussed with emphasis based on VAR the technical combination credit risk quantification model - CreditMetrics model, finally has carried on an innovation to the CreditMetrics model, enables it to be able to apply in our country at present environment, Has discussed in the conclusion based on the VAR technology credit risk measurement method applies in our country faced with the restriction factor and the realization way.