Aggregation-robustness and model uncertainty of regulatory risk measures
Paul Embrechts, Bin Wang, Ruodu Wang
| Year of publication: |
October 2015
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|---|---|
| Authors: | Embrechts, Paul ; Wang, Bin ; Wang, Ruodu |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 19.2015, 4, p. 763-790
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| Subject: | Value-at-risk | Expected shortfall | Dependence uncertainty | Risk aggregation | Aggregation-robustness | Inhomogeneous portfolio | Basel III | Risikomaß | Risk measure | Risiko | Risk | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomanagement | Risk management | Entscheidung unter Unsicherheit | Decision under uncertainty | Kreditrisiko | Credit risk | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-015-0273-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011420503