A conditional equity risk model for regulatory assessment
By A. Floryszczak, J. Lévy Véhel and M. Majri
| Year of publication: |
2019
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|---|---|
| Authors: | Floryszczak, A. ; Lévy Véhel, Jacques ; Majri, M. |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 49.2019, 1, p. 217-242
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| Subject: | Risk budget allocation | solvency capital requirement | value-at-risk | pro-cyclicality | stochastic functional differential equation | non-stationary process | market risk | llocation | Risikomaß | Risk measure | Risikomanagement | Risk management | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Theorie | Theory | Risikomodell | Risk model | Risiko | Risk | Stochastischer Prozess | Stochastic process | Marktrisiko | Market risk | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2018.35 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012105450