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模型风险的量化

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摘要 事实表明模型风险产生的危机不容忽视,而量化和模型在金融中又不可或缺。着重介绍了基于贝耶斯模型平均的模型风险度量,并提出了一种全新的思路与方法,即在经济资本金计提中把模型风险考虑进去,从而更直观地量化模型风险。
作者 李荣荣 顾茜
出处 《商情》 2011年第50期82-82,共1页
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