文献类型：会议论文

英文题名：Unified risk management of commercial bank based in VaR

作者：Wei Huimei[1];Mou Yuanchao[1]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 20037, Peoples R China

会议论文集：International Conference on Management of Technology

会议日期：NOV 20-23, 2009

会议地点：Taiyuan, PEOPLES R CHINA

语种：英文

外文关键词：Market Risk; Credit Risk; Operational Risk; Unified Risk Management; VAR; Copula

摘要：As the launch of New Basel Accord in 2004, it marked that the risks management of commercial banks has entered a phase of comprehensive risk management. In this paper, we try to use the important risk management tool VAR, establish a unified risk management framework of bank by measuring the VAR of three important risks for bank risk, to improve the efficiency of the bank risk management.