金融机构一体化集成风险管理技术与系统

发布时间：2018-06-15 06:44

本文选题：金融机构 + 集成风险　；参考：《统计与决策》2012年03期

【摘要】：文章在考虑信用风险、市场风险和操作风险相关性的基础上,结合有关文献,修订有关参数,提出金融机构的一体化风险管理思路。采用正态copula、t-copula函数作为风险损失率的相关结构,结合相关文献数据模拟奥地利银行风险集成过程,为金融机构一体化集成风险管理提供参考。
[Abstract]:On the basis of considering the correlation among credit risk, market risk and operational risk, combined with relevant literature, the paper revised the relevant parameters and put forward the idea of integrated risk management of financial institutions. The normal copulat-copula function is used as the relevant structure of risk loss rate, and the risk integration process of Austrian banks is simulated by combining relevant literature data, which provides a reference for integrated risk management of financial institutions.
【作者单位】：中国人民大学;中南财经政法大学金融学院;
【基金】：中南财经政法大学新华金融保险学院国家重点学科建设项目(2010FINA0016)
【分类号】：F224;F830.3

【共引文献】