Abstract This paper,based on RAROC methodology and the credit migration approach proposed by JP Morgan with CreditMetrics, constructs a credit migration matrix of credit receiver in accounts receivable duration to calculate the credit Value-at-Risk value and Capital-at-Risk value,as well as the RAROC ratio, which can be used in the decision-making on enterprise's sale on credit. Besides, by introducing RAROC methodology into enterprise credit management system,we look forward to improving enterprise credit risk management by assessing and evaluating the performance of enterprise management process based on risk.
|
Received: 07 January 2008
|
Corresponding Authors:
SUN Tong
|
|
|
|