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- W2378699545 abstract "Considering the dynamic changes and multiple attributes of the commercial bank's risk assets,this paper presents an integrated risk measurement model for commercial banks combining the Copula function with uncertainty theory,and design solving algorithms based on the methods of stochastic simulations,neural networks and genetic algorithms.At last,using the market risk data and credit risk data of Bank of China,Bank of communications and China Merchants Bank,we test the effectiveness of the model and the algorithms.The evidence shows that,with the uncertainty of risk assets structure considered and the integrated risk measured based on the historical data,this model is superior and useful." @default.
- W2378699545 created "2016-06-24" @default.
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- W2378699545 date "2015-01-01" @default.
- W2378699545 modified "2023-09-23" @default.
- W2378699545 title "Commercial Bank's Integrated Risk Measurement under the Uncertainty of Risk Assets Structure" @default.
- W2378699545 hasPublicationYear "2015" @default.
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