How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Mark Lichtner
| Year of publication: |
2019
|
|---|---|
| Authors: | Lichtner, Mark |
| Subject: | Absolute | Displaced | FRTB | Fundamental review of the trading book | Geometric calculus | Interest rates | Local volatility | Lognormal | Model risk | Nature of interest rates | Normal | Relative | Return modelling | Risk factor returns | Stressed value at risk | SVaR | Value at risk | VaR | Volatilität | Volatility | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Kapitaleinkommen | Capital income | Risikomanagement | Risk management | VAR-Modell | VAR model | Zinsstruktur | Yield curve | Marktrisiko | Market risk | Schätzung | Estimation | Risiko | Risk | Bankrisiko | Bank risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1579924 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194794