Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
D. E. Allen, R. J. Powell, A. K. Singh
| Year of publication: |
2016
|
|---|---|
| Authors: | Allen, David E. ; Powell, R. J. ; Singh, Abhay Kumar |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 249.2016, 2 (1.3.), p. 465-475
|
| Subject: | Uncertainty modeling | Credit risk | Conditional Value at Risk | Conditional probability of default | Capital buffers | Kreditrisiko | Risikomaß | Risk measure | Theorie | Theory | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Risiko | Risk | Portfolio-Management | Portfolio selection | Insolvenz | Insolvency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2014.12.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011436713