GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
Year of publication: |
2013
|
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Authors: | Jimenez-Martin, Juan-Angel ; McAleer, Michael ; Amaral, Teodosio Perez ; Santos, Paulo Araujo |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Finanzkrise | Basler Akkord | Portfolio-Management | Risikomaß | Prognoseverfahren | Extremwerttheorie | Welt | Value-at-Risk (VaR) | DPOT | daily capital charges | robust forecasts | violation penalties | optimizing strategy | aggressive risk management | conservative risk management | Basel | global financial crisis |
Series: | Tinbergen Institute Discussion Paper ; 13-070/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 752163221 [GVK] hdl:10419/87339 [Handle] RePEc:dgr:uvatin:20130070 [RePEc] |
Classification: | G32 - Financing Policy; Capital and Ownership Structure ; G11 - Portfolio Choice ; G17 - Financial Forecasting ; C53 - Forecasting and Other Model Applications ; C22 - Time-Series Models |
Source: |
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GFC-robust risk management under the Basel accord using extreme value methodologies
Jiménez-Martín, Juan-Ángel, (2013)
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GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
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GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
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