Research On Improvement Of Default Risk Model Of Asset-backed Loan Based On Expected Shortfall And Dynamic Risk Early Warning

With China entering a new era of development,the further deepening of reform and opening up,the reform pace of major commercial banks has accelerated,and the awareness and level of risk management have made remarkable progress.The Chinese government attaches great importance to financial risks,forces commercial banks to deeply reflect on the possible financial hidden dangers in the financial industry,deeply learn from the experience and lessons of risk management at home and abroad,and further pay attention to and improve risk control measures.Firstly,this dissertation compares the characteristics of ES and VaR,and finds that ES has more advantages in risk management than var.However,ES has some difficulties in application.Then,by reconstructing the statistical theory of risk assessment,this dissertation improves the risk assessment model of asset-backed loan from the perspectives of the existence of analytical solution,non negativity of risk and dynamic index.In addition,this dissertation uses the mixed early warning model composed of Logit model and SVM model to detect the risk assessment model of asset-backed loans.It is found that the mixed early warning model can significantly improve the capture rate of default risk behavior when asset prices fluctuate.Finally,this dissertation summarizes the dynamic evaluation methods of asset value and puts forward some opinions on financial risk management.This dissertation discusses the depreciation risk of guaranteed assets in asset-backed loans of commercial banks,discusses the risk identification and risk mitigation mechanism of modern commercial banks,establishes a statistically practical default risk assessment model,and analyzes the business and policy countermeasures.The model constructed in this dissertation is a risk assessment model based on ES measurement,which can effectively carry out dynamic assessment and early warning of asset-backed loan risk.