Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach
Max C. Y. Wong
| Year of publication: |
2015
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|---|---|
| Authors: | Wong, Max C. Y. |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 8.2015, 1, p. 45-61
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| Subject: | Kelly criterion | regulatory capital | optimal leverage | countercyclical capital | balance sheet simulation | systemic risk | procyclical risk | value-at-risk | monetary policy transmission mechanism | Basler Akkord | Basel Accord | Geldpolitik | Monetary policy | Geldpolitische Transmission | Monetary transmission | Risikomaß | Risk measure | Theorie | Theory | Konjunktur | Business cycle | Kreditrisiko | Credit risk | Systemrisiko | Systemic risk | Bankrisiko | Bank risk | Risiko | Risk | Risikomanagement | Risk management | Simulation | Kapitalstruktur | Capital structure | Bankenliquidität | Bank liquidity | Kreditgeschäft | Bank lending |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010526458