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~institution:"Tilburg University, Center for Economic Research"
~person:"Kerkhof, F.L.J."
~subject:"risk management"
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risk management
(coherent) risk management
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capital
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capital requirements
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Kerkhof, F.L.J.
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Backtesting for Risk-Based Regulatory
Capital
Melenberg, Bertrand
;
Kerkhof, F.L.J.
-
Tilburg University, Center for Economic Research
-
2002
that the resulting regulatory
capital
scheme using expected shortfall compares favorably to the current Basle Accord …
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