Value-at-Risk models and Basel capital charges : evidence from emerging and frontier stock markets
Adrian F. Rossignolo; Meryem Duygun Fethi; Mohamed Shaban
| Alternative title: | The financial crisis of 2008, credit markets and effects on developed and emerging |
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| Year of publication: |
2012
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| Authors: | Rossignolo, Adrian F. ; Fethı, Meryem Duygun ; Shaban, Mohamed |
| Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 8.2012, 4, p. 303-319
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| Subject: | Value-at-Risk | Extreme Value Theory | Emerging and Frontier markets | Capital Requirements | Stressed VaR | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Schwellenländer | Emerging economies | Aktienmarkt | Stock market | Ausreißer | Outliers | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Risikomanagement | Risk management | Finanzmarktregulierung | Financial market regulation | Bankrisiko | Bank risk | Kapitalbedarf | Capital requirements |
| Type of publication: | Article |
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| 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/10009655576