Basel violations, volatility model variants and value at risk : optimization of performance deviations in banks
Shahid Anjum, Naveeda Qaseem
| Year of publication: |
2021
|
|---|---|
| Authors: | Anjum, Shahid ; Qaseem, Naveeda |
| Published in: |
Economics and Business Letters : EBL. - Oviedo : Univ., ISSN 2254-4380, ZDB-ID 2708683-5. - Vol. 10.2021, 3, p. 240-248
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| Subject: | volatility models | value at risk estimation and performance measures | multivariate techniques | multi-criteria decision making | Theorie | Theory | Volatilität | Volatility | Risikomaß | Risk measure | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis | Bankrisiko | Bank risk | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.17811/ebl.10.3.2021.240-248 [DOI] hdl:11159/6025 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012595918