Showing 1 - 10 of 14
Persistent link: https://www.econbiz.de/10011492465
Persistent link: https://www.econbiz.de/10003937131
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...
Persistent link: https://www.econbiz.de/10003961489
Persistent link: https://www.econbiz.de/10002747208
Persistent link: https://www.econbiz.de/10002877322
Persistent link: https://www.econbiz.de/10003807579
Persistent link: https://www.econbiz.de/10011630860
We investigate capital requirements based on Value at Risk (V@R) and Average Value at Risk (AV@R) when the bank's econometric model only approximately describes the true, unknown return generating process, as is often the case in practice. We provide a simple formula for such capital...
Persistent link: https://www.econbiz.de/10013063454
Persistent link: https://www.econbiz.de/10009298523
Persistent link: https://www.econbiz.de/10012653667