VaR方法在营销信用风险管理中的应用  

The Application of VaR to Marketing Credit Risk Management

作　　者：孙彤[1] 汪波[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《工业工程》2008年第2期120-124,共5页Industrial Engineering Journal

摘　　要：根据VaR风险度量的原理,借鉴J.P.摩根的信用计量CreditMetrics模型中信用等级转移的思想,构建了应收账款回收期内受信企业信用状况转移矩阵,并据此计算出企业营销信用VaR值,为企业信用销售决策提供依据。通过将VaR方法引入企业的风险管理框架中,以期提高企业营销风险管理水平。It constructs a credit migration matrix of credit receiver in accounts receivable duration to calculate the marketing credit Value-at-Risk, which is used to make decisions about enterprises＇ sale on credit, based on VaR methodology and the credit migration approach proposed by JP Morgan with CreditMetrics. The introduction of VaR into the enterprise risk management framework will be of benefit to marketing risk management.

关 键 词：营销信用风险 信用风险管理 受险价值 

分 类 号：F270[经济管理—企业管理]