Title :
A modified method on economic capital distribution of commercial banks based on correspondence analysis
Author :
Qin, Xuezhi ; Wei, Qiang ; Hu, Youqun
Author_Institution :
Sch. of Bus. Manage., Dalian Univ. of Technol., Dalian, China
Abstract :
This paper provides a modified mthod by inducing correspondence analysis. Firstly, we adopt a credit portfolio risk measurement method based on the default correlation, and then on the basis of traditional unexpected losses distribution method, introduce correspondence analysis for roughly guiding single group´s internal capital allocation. Finally, this paper makes a further empirical analysis by taking Dalian branch of Bank A as example.
Keywords :
banking; economics; risk analysis; Dalian branch; commercial banks; correspondence analysis; credit portfolio risk measurement method; default correlation; economic capital distribution; internal capital allocation; unexpected losses distribution method; Correlation; Economics; Industries; Loss measurement; Manufacturing; Portfolios; Resource management; correspondence analysis; credit portfolio; economic capital;
Conference_Titel :
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location :
Deng Leng
Print_ISBN :
978-1-4577-0535-9
DOI :
10.1109/AIMSEC.2011.6010440