Kerangka Kerja Ekonofisika dalam Basel II
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.
|Date of creation:||07 Jun 2006|
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- 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.
- Enrico Scalas, 2005. "Basel II for Physicists: A Discussion Paper," Papers cond-mat/0501320, arXiv.org.
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