GFC-robust risk management under the Basel accord using extreme value methodologies

Paulo Araújo Santos; Juan-Ángel Jiménez-Martín; Michael McAleer

Year of publication:	2011
Authors:	Santos, Paulo Araújo ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael
Publisher:	Rotterdam : Econometric Institute
Subject:	Finanzkrise \| Financial crisis \| Basler Akkord \| Basel Accord \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Prognoseverfahren \| Forecasting model \| Ausreißer \| Outliers \| Welt \| World \| 2008-2010

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