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商业银行操作风险量化管理 被引量:3

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摘要 近年来,国内外一系列造成商业银行重大损失事件,引起了人们对操作风险的极大关注。操作风险的量化是对其进行有效管理并为之配置资本的前提和基础。本文以新巴赛尔协议为依据,从风险量化的层面研究商业银行操作风险的管理。
出处 《金融与经济》 北大核心 2006年第1期77-78,共2页 Finance and Economy
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  • 1Junji Hiwatashi.Solutions On Measuring Operational Risk.Capital Markets News, September 2002.
  • 2Toshihiko Mori &Eiji Harada.Internal Measurement Approach to Operational Risk Capital Charge (discuss paper).http://www.bis.org.
  • 3Working Paper on the Regulatory Treatment of Operational Risk. http://www.bis.org.
  • 4"Consultative Document: Operational Risk"January 2001.http://www.bis.org.
  • 5Alexander J. Mcneil.Extreme Value Theory for Risk Managers.
  • 6Jach L.King.Operational Risk: EVT Models.http://www.genoauk.com.
  • 7The Quantitative Impact Study For Operational Risk(1-3).http://www.bis.org.
  • 8An Internal Model for Operational Risk Computation.http://www.risldab-madrid.uam.es.
  • 9Hans Geiger.Regulating and Supervising Operational Risk for Banks,presented at the Conference“Future of Financial Regulation:Global Regulatory Reform and Implications for Japan”,17 Oct 2000.
  • 10Federal Deposit Insurance Corporation. Supervisory Guidance on Operational Risk Advanced Measurement Approaches for Regulatory Capital, July 2003. http://www. fdic. gov/regulations/laws/publiccomments/basel/oprisk. Ddf.

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