Procyclicality of economic capital in commercial bank and buffer methods

被引：0

作者：

Li Guanzheng ^{[1
]}

Peng Jiangang ^{[1
]}

机构：

[1] Hunan Univ, Res Ctr Financial Management, Changsha 410079, Hunan, Peoples R China

来源：

PROCEEDINGS OF CHINA-CANADA INDUSTRY WORKSHOP ON FINANCIAL ENGINEERING AND ENTERPRISE RISK MANAGEMENT 2009 | 2009年

关键词：

Economic Capital; Procyclicality; Credit; Buffer;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We raise the economic capital's procyclicality problem of commercial bank; theoretically analyze its mechanisms and characteristics of economic capital's procyclicality. Then we use Loan Default Table method and Credit Risk+ model to test and calculate the procyclicality and summed up two specific working channels. Finally we propose some buffer measures to the procyclicality of economic capital.

引用

页码：261 / 265

页数：5

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