A Capital Adequacy Buffer Model
Year of publication: |
2013
|
---|---|
Authors: | Abad, Pilar ; Benito, Sonia ; Granero, Miguel Angel Sánchez ; López, Carmen |
Institutions: | Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid |
Subject: | Value at Risk | Parametric model | Skewness t-Generalised Distribution | GARCH Model | Risk Management | Loss function |
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