Calculating concentration-sensitive capital charges with conditional value-at-risk
Dirk Tasche and Ursula Theiler
| Year of publication: |
2004
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|---|---|
| Authors: | Tasche, Dirk ; Theiler, Ursula |
| Published in: |
Operations research proceedings 2003 : selected papers of the International Conference on Operations Research (OR 2003), Heidelberg, September 3 - 5, 2003 ; with 51 tables. - Berlin : Springer, ISBN 3-540-21445-3. - 2004, p. 261-268
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| Subject: | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Theorie | Theory | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Notes: | Literaturangaben |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002072536