EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Minimum Capital Risk Requirments"
Narrow search

Narrow search

Year of publication
Subject
All
GARCH models 1 Generalised Pareto Distribution 1 Minimum Capital Risk Requirments 1
Online availability
All
Free 1
Type of publication
All
Book / Working Paper 1
Language
All
English 1
Author
All
Brooks, Chris 1 Clare, Andrew D. 1 Persand, Gita 1
Institution
All
Henley Business School, University of Reading 1
Published in...
All
ICMA Centre Discussion Papers in Finance 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Cover Image
An EVT Approach to calculating Risk Capital Requirements
Brooks, Chris; Persand, Gita; Clare, Andrew D. - Henley Business School, University of Reading - 2000
This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs). We propose a semi-parametric approach where the tails are modelled by the Generalised Pareto Distribution and smaller risks are captured by...
Persistent link: https://www.econbiz.de/10005357665
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...