박사
국내은행들의 유동성 리스크 및 경제적 자본 측정에 관한 두 개의 논문 = Two essays on economic capital and liquidity adjusted VaR(LVaR) of domestic banks in Korea
김윤정
2013년
'
국내은행들의 유동성 리스크 및 경제적 자본 측정에 관한 두 개의 논문 = Two essays on economic capital and liquidity adjusted VaR(LVaR) of domestic banks in Korea' 의 주제별 논문영향력
| 주제 |
|
|
|---|---|---|
| 동일주제 총논문수 | 논문피인용 총횟수 | 주제별 논문영향력의 평균 |
| 741 | 0 |
0.0% |
주제별 논문영향력
' 국내은행들의 유동성 리스크 및 경제적 자본 측정에 관한 두 개의 논문 = Two essays on economic capital and liquidity adjusted VaR(LVaR) of domestic banks in Korea' 의 참고문헌
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은행권「유동성리스크 관리 기준」도입금융감독원 [2009]
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유동성리스크 관리감독의 정책적 보완과제서병호 [2008]
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Volume, Liquidity, and Liquidity Risk
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Value at Risk: The Benchmark for Managing Financial Risk, 3rd ed
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The liquidity discountJarrow Subramanian [2001]
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The effects of large block transactions on security prices: A cross-sectional analysisHolthausen Leftwich Mayers [1987]
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Revamping Liquidity Measures: Improving Investability in Emerging and Frontier Market Indices and Their Related ETFsClark [2011]
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Portfolio Liquidity-Adjusted Value-At-RiskBotha [2008]
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Panel Data, Liquidity Risk, and Increasing Loans-to-Core Deposits Ratio of Large Commercial Bank Holding Companies
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Non-paramentric liquidity-adjusted VaR model: a stochastic programming approachFragniere Gondzio Tuchschmid Zhang [2010]
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Mopping up liquidityJarrow Subramanian [1997]
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Measuring market riskDowd, Kevin [2002]
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Liquidity-adjusted in VaR Model: Evidence from the Indian Debt MarketRoy [2004]
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Liquidity-adjusted Risk measures[2012]
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Liquidity on the outside[1999]
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Liquidity Mismatch MeasurementBrunnermeier Gorton Krishnamurthy [2011]
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Incorporating Liquidity Risk in Value-at-Risk Based on Liquidity Adjusted ReturnsWu [2009]
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Incorporating Liquidity Risk in VaR ModelsLe Saout [2002]
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Estimation of Liquidity-adjusted VaR from historical dataOrlova [2008]
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Economic Capital Allocation under Coherent Market Liquidity ConstraintsAl Janabi [2011]
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Deciphering the Liquidity and Credit CrunchBrunnermeier [2009]
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Adjusting value-at-risk for market liquidityCosandey [2001]
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A Stochastic Programming Model to Minimize Volume Liquidity Risk in Commodity TradingFragniere [2011]