An application of extreme value theory in estimating liquidity risk
Sonia Benito Muela, Carmen López Martín, Raquel Arguedas Sanz
| Year of publication: |
September-December 2017
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| Authors: | Muela, Sonia Benito ; Martín, Carmen López ; Sanz, Raquel Arguedas |
| Published in: |
European research on management and business economics. - Barcelona : Elsevier Espãna, S.L.U., ISSN 2444-8834, ZDB-ID 2855400-0. - Vol. 23.2017, 3, p. 157-164
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| Subject: | Value-at-risk | Liquidity risk | Extreme value theory | Basel capital accord | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Bankenliquidität | Bank liquidity | Ausreißer | Outliers | Bankrisiko | Bank risk | Theorie | Theory | Risiko | Risk | Kreditrisiko | Credit risk | Liquidität | Liquidity | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iedeen.2017.05.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011893406