Generalized Pareto processes and fund liquidity risk
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel and Frank Thomas Seifried
| Year of publication: |
August 2018
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|---|---|
| Authors: | Desmettre, Sascha ; Kock, Johan de ; Ruckdeschel, Peter ; Seifried, Frank Thomas |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 8, p. 1327-1343
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| Subject: | ARGP process | GPD | Liquidity risk | Data features | Theorie | Theory | Bankenliquidität | Bank liquidity | Risiko | Risk | Liquidität | Liquidity | Risikomaß | Risk measure | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1410214 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011911542