Value-at-risk capital requirement regulation, risk taking and asset allocation : a mean–variance analysis
Year of publication: |
2015
|
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Authors: | Kaplanski, Guy ; Levy, Haim |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 1/3, p. 215-241
|
Subject: | risk management | capital requirement regulation | value-at-risk | Basel regulations | regulated capital market line | Theorie | Theory | Risikomanagement | Risk management | Basler Akkord | Basel Accord | Regulierung | Regulation | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Bankrisiko | Bank risk | Bankenregulierung | Bank regulation | Kreditrisiko | Credit risk |
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