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
|
| Subject: | volatility models | value at risk estimation and performance measures | multivariate techniques | multi-criteria decision making | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Bankrisiko | Bank risk | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis | Theorie | Theory | Bank | Portfolio-Management | Portfolio selection | Schätzung | Estimation |
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