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厚尾事件度量和压力测试在我国商业银行的应用研究
引用本文:盛斌,石静雅.厚尾事件度量和压力测试在我国商业银行的应用研究[J].财经问题研究,2010(2):43-47.
作者姓名:盛斌  石静雅
作者单位:南开大学,国际经济研究所,天津,300071;南开大学,国际经济研究所,天津,300071
摘    要:2008年爆发的全球性金融危机的原因在于市场参与各方都没有意识到整个经济中信贷增长、杠杆作用和房价泡沫形成了代价巨大的厚尾事件风险。本文旨在分析厚尾分布度量及压力测试方法的基础上,研究压力测试在我国的适用性,并对我国商业银行应用压力测试提出具体建议。

关 键 词:厚尾事件  压力测试  商业银行

The Application of Measurement of Heavy - tail Events and Stress Test on China's Commercial Banks
SHENG Bin,SHI Jing-ya.The Application of Measurement of Heavy - tail Events and Stress Test on China''s Commercial Banks[J].Research On Financial and Economic Issues,2010(2):43-47.
Authors:SHENG Bin  SHI Jing-ya
Institution:The Institute of International Economics;Nankai University;Tianjin 300071;China
Abstract:The financial crisis in 2008 was caused by ignored heavy-tail events that originated from credit expansion,financial leverage and booming housing price.Based on introduction of measurement of heavy-tail events and stress test,the paper analyses the feasibility of applying stress test in China and provides concrete advices of application for Chinese commercial banks.
Keywords:heavy-tail events  stress test  commercial bank  
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