Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Ralf Kellner, Daniel Rösch
| Year of publication: |
July 2016
|
|---|---|
| Authors: | Kellner, Ralf ; Rösch, Daniel |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 68.2016, p. 45-63
|
| Subject: | Model risk | Capital requirements | Value-at-Risk | Expected Shortfall | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Bankrisiko | Bank risk | Theorie | Theory | Risiko | Risk | Portfolio-Management | Portfolio selection | Kapitalbedarf | Marktrisiko | Market risk | Kreditrisiko | Credit risk | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2016.05.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011708407