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Kerangka Kerja Ekonofisika dalam Basel II

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Author Info
Situngkir, Hokky
Surya, Yohanes

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Abstract

The 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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File URL: http://mpra.ub.uni-muenchen.de/896/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 896.

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Date of creation: 07 Jun 2006
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Handle: RePEc:pra:mprapa:896

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Related research
Keywords: risk management econophysics Basel II.

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Find related papers by JEL classification:
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
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 and Testing
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

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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.:
  1. Hokky Situngkir & Yohanes Surya, 2005. "On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree," Macroeconomics 0505010, EconWPA. [Downloadable!]
  2. Situngkir, Hokky, 2006. "Value at Risk yang memperhatikan sifat statistika distribusi return," MPRA Paper 895, University Library of Munich, Germany. [Downloadable!]
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This page was last updated on 2008-11-18.

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