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Kopuly V Upravlenii Riskami Bankov: Praktika Primeneniya Modeley V Rossii Genrikh Penikas Russian edition
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Kopuly V Upravlenii Riskami Bankov: Praktika Primeneniya Modeley V Rossii
Genrikh Penikas
Mirovoy finansovyy krizis 2008-2009 gg. stimuliroval aktivnost' Bazel'skogo Komiteta po bankovskomu nadzoru po rasshireniyu praktiki primeneniya prodvinutykh modeley upravleniya riskami bankov, vklyuchaya ispol'zovanie modeley «kopula». Uchityvaya vysokuyu aktivnost' Tsentral'nogo Banka Rossii po perevodu rossiyskoy bankovskoy sistemy na standarty Bazel' II, vozrastaet potrebnost' v razvitii podkhodov k upravleniyu riskami bankov, osnovannykh na modelyakh «kopula». Dannoe issledovanie reshaet tri klyuchevye problemy, svyazannye s primeneniem modeley «kopula» v praktike upravleniya riskami rossiyskikh bankov: predpolozhenie o neizmennosti kopuly i sovmestnogo raspredeleniya riskov vo vremeni; vybor nailuchshey modeli «kopula»; modelirovanie sovmestnoy dinamiki risk-faktorov rynochnogo riska dlya rossiyskoy ekonomiki. Dannye problemy obsuzhdayutsya v prilozhenii k trem zadacham upravleniya rynochnymi riskami rossiyskikh bankov: optimizatsiya valyutnogo i protsentnogo riskov, khedzhirovanie tsenovogo riska. V rezul'tate pokazano, chto predlozhennyy instrumentariy po primeneniyu modeley «kopula» pozvolyaet povysit' tochnost' otsenki riskov v zadachakh upravleniya rynochnym riskom rossiyskikh bankov po sravneniyu s traditsionnymi podkhodami.
| Media | Books Paperback Book (Book with soft cover and glued back) |
| Released | March 13, 2011 |
| ISBN13 | 9783843318341 |
| Publishers | LAP LAMBERT Academic Publishing |
| Pages | 192 |
| Dimensions | 150 × 11 × 225 mm · 304 g |
| Language | German |
See all of Genrikh Penikas ( e.g. Paperback Book )