Nonparametric factor analytic risk measurement in common stocks in financial firms : evidence from Korean firms
Seungho Baek (Murray Koppelman School of Business, City University of New York), Joseph D. Cursio (Stuart School of Business, Illinois Institute of Technology), Seung Y. Cha (College of Business, Seoul National University)
| Year of publication: |
August 2015
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|---|---|
| Authors: | Baek, Seungho ; Cursio, Joseph D. ; Cha, Seung Y. |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 44.2015, 4, p. 497-536
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| Subject: | Risk management | Monte Carlo simulation | Value at risk | Expected shortfall | Systemic risk | Principal component analysis | Risikomanagement | Risikomaß | Risk measure | Monte-Carlo-Simulation | Südkorea | South Korea | Risiko | Risk | Systemrisiko | Bankrisiko | Bank risk | Messung | Measurement | Nichtparametrisches Verfahren | Nonparametric statistics | Finanzkrise | Financial crisis | Portfolio-Management | Portfolio selection | Theorie | Theory | Hauptkomponentenanalyse |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/ajfs.12098 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011470947