An academic response to Basel 3.5
Year of publication: |
2014
|
---|---|
Authors: | Embrechts, Paul ; Puccetti, Giovanni ; Rüschendorf, Ludger ; Wang, Ruodu ; Beleraj, Antonela |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 2.2014, 1, p. 25-48
|
Publisher: |
Basel : MDPI |
Subject: | Basel 3.5 | risk-weighted assets | Value-at-Risk | expected shortfall | model uncertainty | robustness | backtesting |
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