A sensitivity analysis of the alpha factor
Michael Einemann and Michael Kalkbrener
| Year of publication: |
2020
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|---|---|
| Authors: | Einemann, Michael ; Kalkbrener, Michael |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 16.2020, 1, p. 49-70
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| Subject: | counterparty credit risk capital | wrong-way risk | counterparty exposure | Basel II | analytic methods | expected shortfall | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Sensitivitätsanalyse | Sensitivity analysis | Derivat | Derivative | Bankrisiko | Bank risk | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2020.259 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012298981