Showing 11 - 20 of 2,508
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the...
Persistent link: https://www.econbiz.de/10013157574
Persistent link: https://www.econbiz.de/10003906435
Persistent link: https://www.econbiz.de/10008664042
Persistent link: https://www.econbiz.de/10009388872
Persistent link: https://www.econbiz.de/10009010317
Persistent link: https://www.econbiz.de/10009012209
Persistent link: https://www.econbiz.de/10009012232
Persistent link: https://www.econbiz.de/10009765824
Persistent link: https://www.econbiz.de/10009767001
Persistent link: https://www.econbiz.de/10009771092