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所在平台: Udemy |
课程主页: https://www.udemy.com/course/credit-risk-and-raroc/
课程评论：没有评论
课程名称：信用风险与RAROC 课程概述：本课程通过银行的案例，讲述如何测量商业银行信贷资产投资组合的盈利能力。在信贷业务中，利息和本金的损失是时常发生的——总会有一些借款人未能履行其义务。某一特定年度实际发生的损失因违约事件的数量和严重程度而有所不同。我们采用基于巴塞尔 II 的方法，提出了一种以违约损失为基础的模型，并结合蒙特卡洛模拟，以便纳入概率，从而计算意外损失。 该课程旨在帮助学员理解信用风险管理的基本原理，并掌握评估银行信贷投资组合盈利能力的工具和技术。通过理论与实践的结合，学员将获得在金融风险领域应用模型和仿真的能力。
This banking example shows how to measure profitability for a commercial bank portfolio of credit assets. In the credit business, losses of interest and principal occur all the time - there are always some borrowers that default on their obligations. The losses that are actually experienced in a particular year vary from year to year, depending on the number and severity of default events.Using a Basel II-based approach we propose a Loss-Given-Default type of model inserting Monte Carlo simulation in order to incorporate probabilities that allow calculation of unexpected losses.
