当前位置：文档库 › 基于copula函数的贷款组合期限结构优化模型

基于copula函数的贷款组合期限结构优化模型

　万方数据

作者：迟国泰，许文，芦丹， CHI Guo-tai， XU Wen， LU Dan

作者单位：迟国泰,CHI Guo-tai(大连理工大学管理学院,辽宁,大连,116024)，许文,XU Wen(中国社会科学院金融研究所博士后流动站,北京100732;大连银行,辽宁,大连,116001)，芦丹,LU

Dan(大连银行,辽宁,大连,116001)

刊名：

管理工程学报

英文刊名：JOURNAL OF INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT

年，卷(期)：2008,22(4)

参考文献(17条)

1.彼得·罗斯商业银行管理 2001

2.Gloria M.Soto Duration models and IRR management:A question of dimensions? 2005(05)

3.David L.Terben M S Analyzing rating transitions and rating drift with continuous observations

2002(02)

4.Marcelo F.Joachim G Nonparametrie specification tests for conditional duration models[外文期刊] 2005(01)

5.刘湘云商业银行利率风险计量模型及实证分析[期刊论文]-广州:广东商学院 2006(04)

6.Chris M Stricldand.Catherine S Forbes.Gael M Martin Bayesian analysis of the stochastic

conditional duration model[外文期刊] 2006(09)

7.邓黎阳.孙刚商业银行利率风险测度方法的现实选择--Fisher-Weil久期模型的应用[期刊论文]-国际金融研究2005(12)

8.Norhert J Jobst.Gautam Mitra.Stavrm A Zcnios Integrating market and credit risk:A simulation and optimization perspective 2006(30)

9.姜灵敏银行授信资产组合优化决策模趔与求解[期刊论文]-商业研究 2006(06)

10.Nelsen RB An introduction to copulas 1998

11.Embrechts PA.McNeil A.Straumann D Correlation:Pitfalls and Ahernatives 1999(05)

12.Clemente AD.Bomano C Measuring portfolio Value-at-Risk by a copula-EVT based approach 2003

13.Roeenberg JV.Schuernmann T A general approach to integrated risk management with skewed.fat-tailed risk 2004

14.Viviarm Fernandez Risk management under extreme events[外文期刊] 2005(02)

15.Durrleman V.Nikeghbali A.T Roncalli which copula is the right one operational 2000

16.Gatfanui H How does systematic risk impact US credit spreads?A Copula Study 2003

17.Deheuvels P A non-parametric test for independence 1981

本文链接：https://www.wendangku.net/doc/2713777946.html,/Periodical_glgcxb200804007.aspx