Proposing model based risk tolerance level for value-at-risk : is it a better alternative to BASEL's rule based strategy
Dr. Debasish Majunder (assistant adviser, Reserver Bank of India, Tardeo, Mumbia, India)
| Year of publication: |
2016
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|---|---|
| Authors: | Majunder, Debasish |
| Published in: |
Journal of contemporary management : JMC. - Toronto : Better Advances Press, ISSN 1929-0128, ZDB-ID 2837237-2. - Vol. 5.2016, 3, p. 62-76
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| Subject: | Value-at-Risk | Extreme value theory | Generalized Pareto distribution | Tai-related risk models | Risikomaß | Risk measure | Risikomanagement | Risk management | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Risiko | Risk | Ausreißer | Outliers | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Risikomodell | Risk model | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011531176