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isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"Journal of risk"
~subject:"Calculation"
~subject:"Capital requirements"
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Journal of risk
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Journal of economic dynamics & control
2
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Risk assessment and financial regulation in emerging markets' banking : trends and prospects
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Value at risk and expected shortfall improved calculation based on the power transformation method
Leccadito, Arturo
;
Toscano, Pietro
;
Tunaru, Radu S.
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 67-81
Persistent link: https://www.econbiz.de/10011311416
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2
A fast Monte Carlo algorithm for estimating value at risk and expected shortfall
Hsieh, Ming-Hua
;
Liao, Wei-Cheng
;
Chen, Chuen-Lung
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 50-66
Persistent link: https://www.econbiz.de/10011311418
Saved in:
3
Modeling risk-weighted assets and the risk sensitivity of related capital requirements
Eberlein, Ernst
;
Madan, Dilip B.
;
Schoutens, Wim
- In:
Journal of risk
16
(
2013
)
2
,
pp. 3-23
Persistent link: https://www.econbiz.de/10010237932
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4
On the reliability of integrated risk measurement in practice
Grundke, Peter
- In:
Journal of risk
15
(
2012/13
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10009732826
Saved in:
5
Risk capital and VaR
Kupiec, Paul H.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
2
,
pp. 41-52
Persistent link: https://www.econbiz.de/10001497765
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