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Unified risk management of commercial bank based in VaR

被引：0
|
作者：
Wei Huimei [1 ]
Mou Yuanchao [1 ]
机构：
[1] E China Univ Sci & Technol, Sch Business, Shanghai 20037, Peoples R China
来源：
ADVANCES IN MANAGEMENT OF TECHNOLOGY, PT 1 | 2009年
关键词：
Market Risk; Credit Risk; Operational Risk; Unified Risk Management; VAR; Copula;
D O I：
暂无
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
As the launch of New Basel Accord in 2004, it marked that the risks management of commercial banks has entered a phase of comprehensive risk management. In this paper, we try to use the important risk management tool VAR, establish a unified risk management framework of bank by measuring the VAR of three important risks for bank risk, to improve the efficiency of the bank risk management.
引用
收藏
页码：48 / 52
页数：5
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