Market risk, value-at-risk and exponential weighting
Year of publication: |
2022
|
---|---|
Authors: | Broll, Udo ; Förster, Andreas |
Published in: |
Economics and business review. - Poznań : Poznań Univ. of Economics Press, ISSN 2392-1641, ZDB-ID 2820261-2. - Vol. 8/22.2022, 2, p. 80-91
|
Subject: | banks | financial intermediaries | risk management | market risk | exponentially weighted moving average | weighting scheme | value-at-risk | Risikomaß | Risk measure | Risikomanagement | Risk management | Bankrisiko | Bank risk | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Risiko | Risk | Theorie | Theory | Finanzdienstleistung | Financial services | ARCH-Modell | ARCH model | Marktrisiko | Market risk |
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