Forward-looking asset correlations in the estimation of economic capital
Álvaro Chamizo, Alexandre Fonollosa, Alfonso Novales
| Year of publication: |
2019
|
|---|---|
| Authors: | Chamizo, Álvaro ; Fonollosa, Alexandre ; Novales, Alfonso |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 61.2019, p. 264-288
|
| Subject: | Asset allocation | Economic capital | Financial crisis | Forward-looking asset correlation | Systemic risk | Portfolio-Management | Portfolio selection | Finanzkrise | Korrelation | Correlation | Kreditrisiko | Credit risk | Systemrisiko | Basler Akkord | Basel Accord | Finanzmarkt | Financial market | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2019.04.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012128297