Value-at-risk and the global financial crisis
Year of publication: |
2023
|
---|---|
Authors: | Ha Tran Manh ; Mai Ngoc Tran |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9587, ZDB-ID 2395282-9. - Vol. 17.2023, 1, p. 41-83
|
Subject: | value-at-risk (VaR) | commercial bank | financial crisis | market risk | backtesting | Finanzkrise | Financial crisis | Risikomaß | Risk measure | Bankrisiko | Bank risk | Risikomanagement | Risk management | Basler Akkord | Basel Accord | ARCH-Modell | ARCH model | Schätzung | Estimation |
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