Kerangka Kerja Ekonofisika dalam Basel II
AbstractThe paper elaborates some analytical opportunities for econophysics in the implementation of Basel II documents for banking. We see this chances by reviewing some methodologies proposed by the econophysicists in the three important aspects of risk management: the market risk, credit risk, and operational risk.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 896.
Date of creation: 07 Jun 2006
Date of revision:
risk management; econophysics; Basel II;
Find related papers by JEL classification:
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
- H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-14 (All new papers)
- NEP-BAN-2007-01-14 (Banking)
- NEP-MAC-2007-01-14 (Macroeconomics)
- NEP-RMG-2007-01-14 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Enrico Scalas, 2005. "Basel II for Physicists: A Discussion Paper," Papers cond-mat/0501320, arXiv.org.
- Jordi Molins & Eduard Vives, 2004. "Long range Ising model for credit risk modeling in homogeneous portfolios," Papers cond-mat/0401378, arXiv.org.
- Situngkir, Hokky, 2006. "Value at Risk yang memperhatikan sifat statistika distribusi return," MPRA Paper 895, University Library of Munich, Germany.
- Hokky Situngkir & Yohanes Surya, 2005. "On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree," Macroeconomics 0505010, EconWPA.
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