Copula-based Economic Capital Measurement in Commercial Bank

摘要：

To determine capital adequacy of a commercial bank, the New Basel Accord has proposed a new framework based on the economic capital. So, one of the core of all the uestions is to measure economic capital scientifically and reasonably. Presently, the methods used by almost all of commercial banks calculating economic capital simply are additions of all economic capital of different risks. These virtually increase banks capital requirements and are not match with risks they will have to deal with.Therefore, the Copula-based integrated risk measurements are discussed in this paper.

关键词： Commercial Bank Risk Management Economic Capital t-Copula Function

作者: SHEN Peilong

作者单位: Faculty of Finance & Banking Shanxi University of Finance and Economics,P.R.China,030006

会议类型: 国际会议

会议名称: The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)

会议地点: 杭州

会议语种:英文

页码: 8-12

在线出版日期: 2008-05-18（万方平台首次上网日期，不代表论文的发表时间）