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Kerangka Kerja Ekonofisika dalam Basel II

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  • Situngkir, Hokky
  • Surya, Yohanes

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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Bibliographic 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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Keywords: risk management; econophysics; Basel II;

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  1. Enrico Scalas, 2005. "Basel II for Physicists: A Discussion Paper," Papers cond-mat/0501320, arXiv.org.
  2. Jordi Molins & Eduard Vives, 2004. "Long range Ising model for credit risk modeling in homogeneous portfolios," Papers cond-mat/0401378, arXiv.org.
  3. Situngkir, Hokky, 2006. "Value at Risk yang memperhatikan sifat statistika distribusi return," MPRA Paper 895, University Library of Munich, Germany.
  4. Hokky Situngkir & Yohanes Surya, 2005. "On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree," Macroeconomics 0505010, EconWPA.
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