Theory of elton-padberg-gruber as a tool management of investment risk / Nepp A.N. // World Applied Sciences Journal. - 2013. - V. 27, l. 6. - P. 734-737.

ISSN:
18184952
Type:
Article
Abstract:
In the article management issues about a bank investment portfolio are taken into account. The international Basel II agreements are analyzed. The influence of agreement principles on operational and market risks of banks is discussed. It is proved that application theories of portfolio will promote the decrease in risks and performance of the Basel II agreement. We explore the application of the algorithm Elton-Gruber-Padberg as a tool for the management of investment risk. © IDOSI Publications, 2013.
Author keywords:
Elton-padberg-gruber' algorithm; Investment risk; Portfolio models; RVOL
Index keywords:
нет данных
DOI:
10.5829/idosi.wasj.2013.27.06.
Смотреть в Scopus:
https://www.scopus.com/inward/record.uri?eid=2-s2.0-84890614695&doi=10.5829%2fidosi.wasj.2013.27.06.13708&partnerID=40&md5=0ccda8c177e0b7d4e83cebc4c1719a2a
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Link https://www.scopus.com/inward/record.uri?eid=2-s2.0-84890614695&doi=10.5829%2fidosi.wasj.2013.27.06.13708&partnerID=40&md5=0ccda8c177e0b7d4e83cebc4c1719a2a
Affiliations Ural Federal University named after the First President of Russia Boris N. Yeltsin, Ekaterinburg, Russian Federation
Author Keywords Elton-padberg-gruber' algorithm; Investment risk; Portfolio models; RVOL
References (1997), The Basel Committee on Banking Supervision (Basel Committee, Basel Committee; Maksimov, V., Nikonov, O., Modeling of risk and risk management (2009) Ural Federal University, p. 8; (2004) A New Agreement On Capital Adequacy of the Basel Committee On Banking Supervision, , Message from the Central Bank of Russia, Central Bank of Russia Press; Rykov, I., Russian banking system at the exit from the crisis: Priorities (2010) Finance and Credit, 6, pp. 3-12; (2004) A New Agreement to Assess the Capital Adequacy of the Basel Committee On Banking Supervision and The Prospects For Its Implementation In Russia, , Information from the CBR Central Bank of Russia, Central Bank of Russia Press; Olsen, M., Banking Supervision: European experience and Russian practice Tutorial in the project Training of personnel of the Central Bank-Phase III (2010) Central Bank of Russia Press, p. 41; (1996), Additions to the Agreement on the capital to include market risk (Amendments to the Capital Accord to Incorporate Market Risks), the Basel Committee on Banking Supervision of 16.01; Ramaswamy, S., Managing credit risk in a corporate bond portfolio (2002) Journal of Portfolio Management, 3, pp. 68-80; Elton, E.D., Gruber, M., (2010) Investments and Portfolio Performance. World Scientific, p. 416; Tamozhnikov, V., Possibilities and limitations of the application of portfolio theory of Markowitz G., F. Black, R. Littermana for the management of public international reserves (2001) Money and Credit, 6, pp. 46-54
Correspondence Address Nepp, A. N.; Ural Federal University named after the First President of Russia Boris N. Yeltsin, 620000, Ekaterinburg, Russian Federation
Language of Original Document English
Abbreviated Source Title World Appl. Sci. J.
Source Scopus