Wrong-way risk bounds in counterparty credit risk management
Amir Memartoluie, David Saunders, Tony Wirjanto
| Year of publication: |
2017
|
|---|---|
| Authors: | Memartoluie, Amir ; Saunders, David M. ; Wirjanto, Tony S. |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 10.2016/2017, 2, p. 150-163
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| Subject: | counterparty credit risk | CVaR | Basel III | linear programming | risk management | distributions with given marginals | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Basler Akkord | Basel Accord | Risikomaß | Risk measure | Bankrisiko | Bank risk | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
| 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/10011670666