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題名:金融系統流動性風險之評估
書刊名:中央銀行季刊
作者:俞明德馮立功 引用關係陳韋達 引用關係林逸苓
出版日期:2012
卷期:34:3
頁次:頁3-50
主題關鍵詞:金融系統銀行業流動性
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:40
期刊論文
1.Dѐes, S.、di Mauro, F.、Pesaran, M. H.、Smith, L. V.(2007)。Exploring the International Linkages of The Euro Area: A Global VAR Analysis。Journal of Applied Econometrics,22(1),1-38。  new window
2.Adrian, Tobias、Shin, Hyun Song(2010)。Liquidity and leverage。Journal of Financial Intermediation,19(3),418-437。  new window
3.Hoggarth, Glenn(2003)。Assessing the Strength of UK Banks through Macroeconomic Stress Tests。Financial Stability Review,14,91-103。  new window
4.Pesaran, M. H.、Schuermann, T.、Weiner, S. M.(2004)。Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model。Journal of Business and Economic Statistics,22,129-162。  new window
5.Merton, Robert C.(1974)。On the Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance,29(2),449-470。  new window
6.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
7.Allen, Franklin、Gale, Douglas(2000)。Financial Contagion。Journal of Political Economy,108(1),1-33。  new window
8.Diamond, Douglas W.、Dybvig, Phillip H.(1983)。Bank Runs, Deposit Insurance, and Liquidity。Journal of Political Economy,91(3),401-419。  new window
9.Pesaran, M. H.、Schuermann, T.、Treutler, B.、Weiner, S. M.(2006)。“Macroeconomic dynamics and credit risk: A global perspective”。Journal of Money, Credit and Banking,38(5),1211–1261。  new window
10.Alessandri, P.、Gai, P.、Kapadia, S.、Mora, N.、Puhr, C.(2009)。Towards a Framework for Quantifying Systemic Stability。International Journal of Central Banking,5(3),47-81。  new window
11.Bunn, P.、Cunningham, A.、Drehmann, M.(2005)。Stress Testing as a Tool for Assessing Systemic Risks。Bank of England Financial Stability Review,18,116-126。  new window
12.Eisenberg, L.、Noe, T. H.(2001)。Systemic Risk in Financial Systems。Management Science,47(2),236-249。  new window
研究報告
1.IMF(201104)。Durable Financial Stability-Getting There from Here。Washington:International Monetary Fund。  new window
2.Cihák, M.(2007)。Introduction to Applied Stress Testing。  new window
3.Aikman, D.、Alessandri, B. E.、P. Gai、S. Kapadia、Martin, E.、Mora, N.、Sterne, G.、Willison, M.(2009)。Funding Liquidity Risk in A Quantitative Model of Systemic Stability。  new window
圖書
1.Basel Committee on Banking Supervision(2010)。Basel III: International Framework for Liquidity risk measurement, standards and monitoring。Bank for International Settlements。  new window
其他
1.Smith, L. V.,Galesi, A.(2011)。GVAR Toolbox 1.1,https://sites.google.com/site/gvarmodelling/。  new window
2.Afonso, G.,Kovner, A.,Shoar, A.(2010)。Stressed, Not Frozen: The Federal Funds Market in the Financial Crisis。  new window
3.Barnhill, T.,Jr.,Schumacher, L.(2011)。Modeling Correlated Systemic Liquidity and Solvency Risk in A Financial Environment with Incomplete Information。  new window
4.Duffie, D.,Garleanu, N.,Pedersen, L.(2006)。Valuation in Over-the-Counter- Markets。  new window
 
 
 
 
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