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  • Search: subject:"yield propability distribution function"
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bank 1 risk aversion 1 risk management 1 skewness 1 value at risk 1 yield propability distribution function 1
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Devjak, Srečko 1 Grum, Andraž 1
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Prague Economic Papers 1
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Third Moment of Yield Probability Distributions for Instruments on Slovenian Financial Markets
Devjak, Srečko; Grum, Andraž - In: Prague Economic Papers 2006 (2006) 4, pp. 364-373
Due to the capital decree legislated by the Bank of Slovenia, Slovenian commercial banks can apply internal models for capital requirements calculation for currency risk and selected market risks (general position risk in line with debt and equity instruments, price change risk for commodities)...
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