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Jokivuolle E, Peura S. Incorporating collateral value uncertainty in loss given default estimates and loan-to-value ratios [J]. European Financial Management, 2003, 9(3): 299-314.
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Cossin D, Huang Z J, Aunon-Nerin D. A framework for collateral risk control determination[J].European Central Bank Working Paper Series, 2003, 239:1-47.
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Winsen J K. An overview of project finance binomial loan valuation[J]. Review of Financial Economics, 2010, 19(2): 84-89.
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Wang Zhicheng, Tang Guozheng, Shi Shuzhong. VaR in financial risk analysis[J]. Science, 1999,51(6):15-18.王志诚,唐国正,史树中.金融风险分析的VaR方法[J].科学,1999,51(6):15-18.
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Li Yixue, Xu Yu, Chen Zhigang. On loan-to-value ratios of stock-pledging loan[J]. Systems Engineering, 2006, 24(10): 55-58.李毅学,徐渝,陈志刚.股票质押贷款业务的贷款价值比率[J].系统工程,2006, 24(10): 55-58.
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王安民,汪丽华,薛荣年,等.约定收益股票回购创新业务探析[J].中国证券,2013(3): 55-61.
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Group of Thirty. Enhancing Financial Stability and Resilience: Macroprudential Policy, Tools, and Systems for the Future[M]. Washington D C: Group of Thirty, 2010.
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Gibson M. Incorporating event risk into value-at-risk[R]. Washington D C: Federal Reserve Board, 2001: FEDS Discussion Paper No.2001-17.
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Jorion P. Value at Risk: The New Benchmark for Controlling Market Risk[M]. New York: McGraw-Hill, 1997.
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[10] |
Hsieh D A. Chaos and nonlinear dynamics: Application to financial markets[J]. The Journal of Finance, 1991, 46(5): 1 839-1 877.
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Saita F. Value at Risk and Bank Capital Management: Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making[M]. London: Academic Press, 2010.
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[12] |
Longin F M. From value at risk to stress testing: The extreme value approach[J]. Journal of Banking & Finance, 2000, 24(7): 1 097-1 130.
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[13] |
Longin F. The choice of the distribution of asset returns: How extreme value theory can help?[J]. Journal of Banking & Finance, 2005, 29(4): 1 017-1 035.
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[14] |
Ouyang Zisheng, Gong Shuming. GPD model as a risk management tool[J]. The Theory and Practice of Finance and Economics, 2005, 26(5): 88-92.欧阳资生, 龚曙明. 广义帕累托分布模型: 风险管理的工具[J]. 财经理论与实践, 2005, 26(5): 88-92.
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[15] |
Balkema A A, de Haan L. Residual life time at great age[J]. The Annals of Probability, 1974, 2(5):792-804.
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[16] |
Pickands Ⅲ J. Statistical inference using extreme order statistics[J]. The Annals of Statistics, 1975, 3(1): 119-131.
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[17] |
Wang Chunfeng, Wan Haihui, Zhang Wei. The model of market risk measurement: VaR[J]. Journal of Systems Engineering, 2000, 15(1): 67-75.王春峰, 万海晖, 张维. 金融市场风险测量模型——VaR[J]. 系统工程学报,2000, 15(1): 67-75.
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[18] |
Hill B M. A simple general approach to inference about the tail of a distribution[J]. The Annals of Statistics, 1975: 1 163-1 174.
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[19] |
Basel Committee on Banking Supervision. The Basel Ⅲ Accord[EB/OL].[2013-08-01] http:// www.Basel-iii-accord.com.
|
[1] |
Jokivuolle E, Peura S. Incorporating collateral value uncertainty in loss given default estimates and loan-to-value ratios [J]. European Financial Management, 2003, 9(3): 299-314.
|
[2] |
Cossin D, Huang Z J, Aunon-Nerin D. A framework for collateral risk control determination[J].European Central Bank Working Paper Series, 2003, 239:1-47.
|
[3] |
Winsen J K. An overview of project finance binomial loan valuation[J]. Review of Financial Economics, 2010, 19(2): 84-89.
|
[4] |
Wang Zhicheng, Tang Guozheng, Shi Shuzhong. VaR in financial risk analysis[J]. Science, 1999,51(6):15-18.王志诚,唐国正,史树中.金融风险分析的VaR方法[J].科学,1999,51(6):15-18.
|
[5] |
Li Yixue, Xu Yu, Chen Zhigang. On loan-to-value ratios of stock-pledging loan[J]. Systems Engineering, 2006, 24(10): 55-58.李毅学,徐渝,陈志刚.股票质押贷款业务的贷款价值比率[J].系统工程,2006, 24(10): 55-58.
|
[6] |
王安民,汪丽华,薛荣年,等.约定收益股票回购创新业务探析[J].中国证券,2013(3): 55-61.
|
[7] |
Group of Thirty. Enhancing Financial Stability and Resilience: Macroprudential Policy, Tools, and Systems for the Future[M]. Washington D C: Group of Thirty, 2010.
|
[8] |
Gibson M. Incorporating event risk into value-at-risk[R]. Washington D C: Federal Reserve Board, 2001: FEDS Discussion Paper No.2001-17.
|
[9] |
Jorion P. Value at Risk: The New Benchmark for Controlling Market Risk[M]. New York: McGraw-Hill, 1997.
|
[10] |
Hsieh D A. Chaos and nonlinear dynamics: Application to financial markets[J]. The Journal of Finance, 1991, 46(5): 1 839-1 877.
|
[11] |
Saita F. Value at Risk and Bank Capital Management: Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making[M]. London: Academic Press, 2010.
|
[12] |
Longin F M. From value at risk to stress testing: The extreme value approach[J]. Journal of Banking & Finance, 2000, 24(7): 1 097-1 130.
|
[13] |
Longin F. The choice of the distribution of asset returns: How extreme value theory can help?[J]. Journal of Banking & Finance, 2005, 29(4): 1 017-1 035.
|
[14] |
Ouyang Zisheng, Gong Shuming. GPD model as a risk management tool[J]. The Theory and Practice of Finance and Economics, 2005, 26(5): 88-92.欧阳资生, 龚曙明. 广义帕累托分布模型: 风险管理的工具[J]. 财经理论与实践, 2005, 26(5): 88-92.
|
[15] |
Balkema A A, de Haan L. Residual life time at great age[J]. The Annals of Probability, 1974, 2(5):792-804.
|
[16] |
Pickands Ⅲ J. Statistical inference using extreme order statistics[J]. The Annals of Statistics, 1975, 3(1): 119-131.
|
[17] |
Wang Chunfeng, Wan Haihui, Zhang Wei. The model of market risk measurement: VaR[J]. Journal of Systems Engineering, 2000, 15(1): 67-75.王春峰, 万海晖, 张维. 金融市场风险测量模型——VaR[J]. 系统工程学报,2000, 15(1): 67-75.
|
[18] |
Hill B M. A simple general approach to inference about the tail of a distribution[J]. The Annals of Statistics, 1975: 1 163-1 174.
|
[19] |
Basel Committee on Banking Supervision. The Basel Ⅲ Accord[EB/OL].[2013-08-01] http:// www.Basel-iii-accord.com.
|