A conditional equity risk model for regulatory assessment
Year of publication: |
2019
|
---|---|
Authors: | Floryszczak, A. ; Lévy Véhel, Jacques ; Majri, M. |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 49.2019, 1, p. 217-242
|
Subject: | Risk budget allocation | solvency capital requirement | value-at-risk | pro-cyclicality | stochastic functional differential equation | non-stationary process | market risk | llocation | Theorie | Theory | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Bankrisiko | Bank risk | Risiko | Risk | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
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