MATEC Web Conf.
Volume 228, 20182018 3rd International Conference on Circuits and Systems (CAS 2018)
|Number of page(s)||5|
|Section||Management Science and Engineering|
|Published online||14 November 2018|
- C. Alexander, J. Pézier, “On the aggregation of market and credit risks”, ISMA Centre Discussion Papers in Finance, No. 2003-13, University of Reading, 2003. [Google Scholar]
- K. Aas, X. K. Dimakos, A. Øksendal, “Risk capital aggregation”, Risk Management, 2007, 9, pp.82-107. [CrossRef] [Google Scholar]
- M. Sklar, “Fonctions de Répartition À N Dimensions Et Leurs Marges”, Publications de Institut de Statistque Universite de Paris, 1959, 8, pp.229-231. [Google Scholar]
- P. Embrechts, A. J. McNeil, D. Straumann, “Correlation and dependence in risk management: properties and pitfalls”, Risk Management Value at Risk & Beyond, 2000, pp.176-223. [Google Scholar]
- J. V. Rosenberg, T. Schuermann, “A general approach to integrated risk management with skewed, fat-tailed Risks”, Journal of Financial Economics. 2006, 79 (3), pp.569-614. [CrossRef] [Google Scholar]
- F. G. Yao, H. M. Wen, J. Q. Luan, “CVaR measurement and operational risk management in commercial banks based on peak value method of extreme theory”, Mathematical and Computer Modelling, 2013, 58 (1-2), pp.15-27. [CrossRef] [Google Scholar]
- C. P. Hsu, C. W. Huang, W J P. Chiou, “Effectiveness of copula-extreme value theory in estimating value-atrisk: empirical evidence from Asian emerging markets”, Review of Quantitative Finance and Accounting, 2012, 39 (4), pp.447-468. [CrossRef] [Google Scholar]
- K. E. Weick, “Educational organization as loosely coupled systems”, Administrative Science Quarterly, 1976, 21 (1): pp.1-19. [Google Scholar]
- T.G. Xu,“The study of coupling interest rate risk and credit risk in bond investment”, Wuhan: Huazhong University of Science and Technology, 2008. (In Chinese) [Google Scholar]
- C. Yan, “Research on the coupling relationship between profitability and risk management capability of commercial banks”, Financial Perspectives Journal. 2014, (12), pp.80-86. (In Chinese) [Google Scholar]
- X.B. He,“Research on VaR model for risks’ coupling theory and numerical simulation technology and its applications” Wuhan: Huazhong University of Science and Technology, 2006. (In Chinese) [Google Scholar]
- China Merchants Bank annual report data is taken from wind, http://www.wind.com.cn/NewSite/data. html. [Google Scholar]
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.