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performance evaluation of loan portfolio taking in to account default probability
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DOR
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20.1001.2.9920013013.1399.12.1.8.6
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نویسنده
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منبع
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كنفرانس بينالمللي تحليل پوششي دادهها - 1399 - دوره : 12 - دوازدهمین کنفرانس بینالمللی تحلیل پوششی دادهها - کد همایش: 99200-13013
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چکیده
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This work aims to evaluate performance of loan portfolio by using credit risk in banks. we obtain the capital required to cover credit risk through the vasichek model. according to the empirical evidence, financial returns show leptokurtosis, skewness and heavy-tailness. therefore value at risk and conditional value at risk as loss in vasicek model for calculating unexpected loss are not normal distribution
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کلیدواژه
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basel ,portfolio credit risk ,loan portfolio ,value at risk ,default probability.
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آدرس
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yadegar imam branch, islamic azad, department of mathematics, iran
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