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信用集中度风险与经济资本研究 被引量:3

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摘要 本文从新资本协议内部评级法的理论基础出发,首先描述了渐近单因素模型的不足,强调了信用集中度风险在现代组合管理中的重要性。其次,对风险集中度的计量方法论进行了综述,探讨了集中度风险对经济资本的影响;最后,根据某商业银行集中度风险计算结果,尝试性地提出引入集中度风险调整系数优化经济资本的方法。
作者 欧阳正仲
机构地区 交通银行总行
出处 《金融与经济》 北大核心 2012年第7期76-78,共3页 Finance and Economy
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同被引文献27

  • 1巴曙松,陈剑.贷款集中度风险:当前信贷风险管理与监管的关键因素[J].金融管理与研究(杭州金融研修学院学报),2010(8):18-21. 被引量:14
  • 2汪林.我国商业银行信贷集中问题探析[J].中国城市经济,2012(2). 被引量:2
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