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新兴市场国家新资本协议实施情况及其发展趋势 被引量：3

The Implementing of New Basel Accord and the Development Trend in Emerging Market Countries
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摘要 本文评述了新资本协议全球实施情况,重点分析了新资本协议在新兴市场国家实施的最新进展,深入剖析了新兴市场国家实施新巴塞尔协议的战略框架和路径,探讨了实施路径、实施成本、实施基础等几个核心问题,以及对我国商业银行实施新资本协议的启示。 The article intorduces the newest situation about New Basel Accord＇s implementing in emerging countries. The strategic framework and implementing path of New Basel Accord in emerging countries are discussed in detail .We make a conclusion about the core problems about the implementing path ,the cost and the preparation for New Basel Accord, and give some advice for the implementing of New Basel Accord in China.
作者 冯鹏熙
机构地区 中国银行资产负债管理部
出处 《国际金融研究》 CSSCI 北大核心 2006年第11期29-35,共7页 Studies of International Finance
关键词 巴塞尔Ⅱ 新资本协议 新兴国家 银行 New Basel Accord Emerging Country Bank.
分类号 F831 [经济管理—金融学]
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参考文献9

  • 1龚朴,何旭彪.信用风险评估模型与方法最新研究进展[J].管理评论,2005,17(5):8-16. 被引量：27
  • 2王泽宇等.“实施巴塞尔协议对中国银行的启示”[J].伦敦金融,2006,(1).
  • 3Accenture, Basel Ⅱ reality check, July 2004.
  • 4Ben S Bernanke,The implementation of Basel Ⅱ - some issues for cross- border banking, at the Institute of International Bankers' Annual Breakfast Dialogue, Washington DC, October 2004.
  • 5Dlana Hancock, Andreas Lehnert, Wayne Passmore, and Shane M. Sherlund, An Analysis of the Potencial Competitive Impacts of BASEL Ⅱ Capital :Standards on U.S. Mortgage Rate and Mortgage Securitization, Federal Reserve Board, April 2005.
  • 6De Fontnouvelle, Patrick Y., John S. Jordan and Eric S. Rosengren, Implications of Alternative Operational Risk Modeling Techniques, Working Paper, Federal Reserve Bank of Boston, 2004.
  • 7Patrick de Fontnouvelle, Victoria Garrity,Scott Chu, Eric Rosengren The Potential Impact of Explicit Basel Ⅱ Operational Risk Capital Charges on the Competitive Environment of Processing Banks in the United States,January 12, 2005.Federal Reserve Bank of Boston.
  • 8Fitch Rating, Bank Operational Risk Assessment Methodology,13,Sep,2005.
  • 9Fitch Rating, Basel Ⅱ in Asia: An Update,5,Jun,2005.

二级参考文献40

  • 1Zhou Chunsheng. The term structure of credit spreads with jump risk. Journal of Banking and Finance, 2001. November, 25(11):2015-2040.
  • 2H u bner, Georges. The analytic pricing of asymmetric defaultable swaps. Journal of Banking and Finance, 2001. February, 25(2):295-316.
  • 3Skinner F., Townend T. An empirical analysis of credit default swaps. International Review of Financial Analysis, 2002. 11(3): 297-309.
  • 4Brown C., Wong S. Credit risk: the case of First Interstate Bankcorp. International Review of Financial Analysis, 2002. 11 (2).
  • 5Michael B. Gordy. A comparative anatomy of credit risk models. Journal of Banking & Finance, 2000. 24.
  • 6Michel Crouhy, Dan Galai. A comparative analysis of current credit risk models. Journal of Banking & Finance, 2000. 24.
  • 7Robert C. Merton. On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 1974.29:449-470
  • 8Longstaff F. A. Schwartz E. S. A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. Journal of Finance, 1995. 50(3):789-819
  • 9Briys. Eric, de Varenne. Francois. On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls. Journal of Risk and Insurance, 1997. 64(4):673-94
  • 10Hayne E. Leland. Risky debt, bond covenants and optimal capital structure. Journal of Finance, 1994.49:1213-1252

共引文献26

同被引文献3

二级引证文献4

国际金融研究
2006年 第11期

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