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Search: subject:"Basle II backtesting"
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Basle II backtesting
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GARCH
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Risk evaluation
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Value-at-risk
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Fricke, Jens
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Pauly, Ralf
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Institut für Empirische Wirtschaftsforschung, Fachbereich Wirtschaftswissenschaften
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Proposals for a needed adjustment of the VaR-based market risk charge of Basle II
Fricke, Jens
;
Pauly, Ralf
-
2009
problem is that the builtin positive incentive of the penalty factor resulting from the
Basle
II
backtesting
is set too weak …
Persistent link: https://www.econbiz.de/10010289318
Saved in:
2
Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II
Fricke, Jens
;
Pauly, Ralf
-
Institut für Empirische Wirtschaftsforschung, …
-
2009
problem is that the builtin positive incentive of the penalty factor resulting from the
Basle
II
backtesting
is set too weak …
Persistent link: https://www.econbiz.de/10008739198
Saved in:
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