A note on estimating market-based minimum capital risk requirements : a multivariate GARCH approach
by C. Brooks, A. D. Clare and G. Persand
| Year of publication: |
2002
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|---|---|
| Authors: | Brooks, Chris ; Clare, Andrew D. ; Persand, Gita |
| Published in: |
The Manchester School. - Oxford [u.a.] : Wiley-Blackwell, ISSN 0025-2034, ZDB-ID 1418920-3. - Vol. 70.2002, 5, p. 666-681
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| Subject: | Risikomanagement | Risk management | Kapitalbedarf | Capital requirements | ARCH-Modell | ARCH model | Theorie | Theory | Risikomaß | Risk measure |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: The Manchester School |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001699705