VaR for Loan Portfolio in Uncertain Environment

Abstract

As a risk measure method, VaR (value at risk) has been applied widely in many domains. This paper researches the VaR measure way in uncertain environment, and applies it in loan portfolio. When all the return rates are the special uncertain variables, we can solve the crisp equivalents of VaR for loan portfolio. When return rates are generic uncertain variables, uncertain simulation is designed to calculate the VaR. Finally, numerical examples are given to illustrate the feasibility and effectiveness of the proposed method.