An application of extreme value theory in estimating liquidity risk
Year of publication: |
September-December 2017
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Authors: | Muela, Sonia Benito ; Martín, Carmen López ; Sanz, Raquel Arguedas |
Published in: |
European research on management and business economics. - Barcelona : Elsevier Espãna, S.L.U., ISSN 2444-8834, ZDB-ID 2855400-0. - Vol. 23.2017, 3, p. 157-164
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Subject: | Value-at-risk | Liquidity risk | Extreme value theory | Basel capital accord | Theorie | Theory | Basler Akkord | Basel Accord | Risikomaß | Risk measure | Risikomanagement | Risk management | Bankenliquidität | Bank liquidity | Ausreißer | Outliers | Risiko | Risk | Kreditrisiko | Credit risk |
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